The concern is that McCaw was out of rugby for 14 weeks last year after getting concussed in the first All Blacks Test against England and if the current injury takes as long to clear up he would miss the entire British & Irish Lions tour.
"Obviously it's a concern because he has a bit of a history [of concussion]," said Henry.
"It's a worry to us and we're concerned for him. He had that history last year and now has had a recurrence."
The Crusaders camp remain upbeat, however, and team doctor Deb Robinson stressed McCaw, who is widely regarded as the best number seven in the world, had "completely recovered" from last year's head injury and that the latest concussion was being treated as "a new whack".
The All Blacks vice-captain had a CAT scan and a neck X-ray and both came back clear and he was allowed to return to the team hotel.
"Obviously, he's got a headache after a big whack like that," Robinson said.
"It's a given he will have concussion. It's just a matter to what degree."
The Crusaders, who were widely considered the tournament favourites before the weekend, went on to lose 35-20 against the Bulls and will be without McCaw as they try to bounce back next Saturday against the Stormers in Cape Town.