The All Blacks have lost a number of high-profile stars such as Carl Hayman, Jerry Collins and Byron Kelleher to European clubs over recent years but Henry says it is the attitude of the younger generation of New Zealanders that leaves him somewhat baffled.
Henry's comments follow the departure of in-form Auckland Blues utility back Jared Payne to Ulster after the 25-year-old had been heavily tipped to make this year's World Cup squad.
"It irritates me that guys (just) under the All Blacks group who have a dream of being an All Black for 25 years all of a sudden get offered $500 000 and bugger off," said Henry.
"They don't carry on and fulfil the dream. There's plenty of time to do all of that other stuff.
"There are guys I know who've gone overseas who've regretted it immensely. Often it's (the result of) their partner's pressure, they want to do an OE (overseas experience).
"They get over there and they think, 'Oh ... it's not so nice over here after all.' The grass is not always greener."
There was some good news for Henry this week, however, after veteran hooker Keven Mealamu re-signed with the New Zealand Rugby Union until 2013.
Mealamu, who remains a key figure in the All Blacks set up having featured in 83 Tests, is the latest current international to commit to his country beyond this year's global gathering.
Liam Messon, Hika Elliot, Tony Woodcock, Ben Franks, Anthony Boric, Tom Donnelly, Sam Whitelock, Jerome Kaino, Kieran Read, Daniel Braid, Victor Vito, Jimmy Cowan, Conrad Smith, Israel Dagg and Aaron Cruden have all extended their contracts.
But while plenty of All Blacks will be staying put after the World Cup, speculation still surrounds the future of two of the game's most high-profile players.
Both All Black skipper Richie McCaw and star playmaker Dan Carter are being linked with moves to French clubs.
And while Henry says he isn't overly concerned about the rumours linking almost every major All Black with an overseas switch, he does admit he would love McCaw, Carter and the next generation of stars to remain in New Zealand.
"Obviously I'd love to see them stay," added Henry.
"In their case, they've been outstanding All Blacks and could be outstanding All Blacks for some time.
"They've done a hell of a good job for New Zealand rugby, and we're all hoping they'll stay and continue doing that good job because they're part of the backbone of the team.
"They've got some big decisions to make, but it's the guys who haven't done what Daniel Carter and Richie McCaw have done but have that opportunity and then are walking away from it that are worrying me."