Gyokeres featured for the Gunners in their Champions League win at Athletic Bilbao.
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And Henry was critical of the Swede after he fluffed a great early chance at San Mames on Tuesday night.
He said on CBS Sports: "The ball has to go here, across the defender. There's no way that those guys should catch you if you take care of the ball properly.
"He's going to have two chances to do it. He won't do it. He doesn't even look at what's happening. He's praying. They are praying. But that first touch is not going to be good.
"Look, we all know that he's been scoring, but away from home, that has to be a goal. He should have had a 1v1. I'm just saying this is the difference between going 1-0 up and still staying 0-0."