The former Gunners striker is in line for the head coaching position at Bordeaux.
The 41-year-old has now said he will take the weekend to come to a decision, per Sky Sports News.
He will be offered a long-term deal should he agree to join Bordeaux.
Henry was assistant manager for Belgium at the World Cup, where they finished in third place.
He has long harbored ambitions of becoming a manager and left his pundit position at Sky Sports this summer.