Henry was comparing the Champions League semifinal first-leg with the previous evening's clash which saw PSG defeat Bayern Munich 5-4.
"On Tuesday, with PSG's 5-4 win over Bayern, we were on the moon. Now we're back on planet Earth," Henry said on CBS Sports Golazo Network.
Henry emphasised that "there are different ways to play" to illustrate that there is no single style in the world: "In PSG vs Bayern we saw total football and today we saw football. There are simply different ways to do it."
The former Arsenal player pointed out that "if you're Arsenal, playing away from home is an old-fashioned strategy" and that "we also know what Atlético represents."
"In Paris, what we expected happened. We all enjoyed it. It was extraordinary. We also expected what was going to happen in Madrid. I think the football world expected what it saw tonight. There weren't many chances. The goal came from a set piece at the end of the match because there were two penalties," he added.