Henry, now Belgium assistant coach, turned down the Bordeaux manager's job last month.
DaGrosa revealed: "We had the opportunity to meet Thierry Henry in New York a few weeks ago. He impressed us a lot. He is remarkable and I have immense respect for him.
"Automatically, we thought about what would be the best for coaching the club. Thierry has immense potential. Sometimes, and in a friendly way, people do not agree. We did not agree financially. There was no other disagreement.
"Clearly, he likes the team, but we have not found a financial agreement."