The Frenchman has been an assistant to Martinez since 2016. However, reports broke on Thursday that stated Henry was in talks with Monaco, where he started his playing career in 1994.
But Martinez says the Arsenal legend will remain beside him at least until Friday's clash with Switzerland.
"I think it's nothing new for us," Martinez said. "Every time there is a vacancy, there is a report on Thierry going.
"So, I can guarantee you he will be on the bench tomorrow. The only thing that matters is preparing for the Switzerland game tomorrow."