Henry told Yahoo! Sport: "When you arrive like that, you're always going to be talked about, and people are always going to target you.
"He needs to make sure he doesn't listen to that and go out and perform."
Regarding Pepe's doubters, Henry said: "People need to forget about the price tag. He didn't ask to be bought for that amount of money himself.
"It's not always easy to arrive in a team, adapt to a new style of play."
"The Premier League, as we know, is not the same as the French League or any other league, by the way. So he needs to adapt to that. We need to give him time."