The Italian giants are desperate to add firepower to their ageing strike force after Alberto Gilardino said he wanted to leave.
And Milan boss Carlos Ancelotti has revealed Henry is on their radar.
Ancelotti said: "We want to sign a midfielder and a forward.
"You know of the names that are being bandied about.
"There are lots of big-name strikers, but there is nothing concrete as these players are playing for big teams.
"Henry is a great striker and is among those players who are of interest to us."