The former Arsenal captain hit the post in yesterday's 3-1 defeat of Athletic Bilbao before being substituted - the second time he's struck the frame of the goal this season.
"I hope the fans can help me to score," said Henry last night, "I am dying to score my first goal.
"When I was taken off, the applause from the fans was wonderful. I would've liked to have stayed on for longer, but I understand the coach's (Frank Rijkaard) decision."
Meanwhile, Giovani dos Santos, who replaced Henry, was delighted to make his Liga debut.
"It was a good debut for me," said the Mexican teenager. "But it would have been spectacular if I'd scored. I was desperate to do so."