The Crystal Palace keeper claims that Vardy, who won seven penalties with Leicester City last season, will 'go down' on the slightest of touches during the Euro2016 encounter in Lens if the Dragons defence are not careful.
"Vardy can be quite clever in the box and go down and you can't touch him," said Hennessey, who expects to play after missing the opening match against Slovakia with a back injury.
"I am lucky enough to play in the Premier League and I know what these players are like week in week out.
"We are all not stupid. He will cut across defenders and go down. Coming against players like that, we have to know their strengths and weaknesses.
"England are very lucky as they have good strikers in form. Vardy will be flying at the moment after winning the league."