Having struggled to assemble a squad after more than a dozen of his demands for players were turned down by several clubs, Henry believes the dream has already come true.
"This event is special because (in our sport) you don't think about finishing second or third or winning a medal. So our story is a success - let's make it better," Henry said after France made sure they would at least secure silver on Friday.
Henry, whose coaching career got off to a sluggish start, can rely on a team that have huge motivation, citing London-born Michael Olise.
"Let's forget about the game and about what he can do. What matters to me is his desire to play for France.
"It gives me goosebumps. He could have gone to the Euros with England and he chose to play for France," Henry said.
All eyes have been on the former Arsenal and France player, a world and European champion with Les Bleus who could add more silverware to his trophy cabinet.
That is not what matters most to Henry, who had an emotional moment during Thursday's press conference.
"Did I ever think I would be part of an Olympic team? Never. I'll tell you why it's different for me," he said.
"I was never with my family watching me performing. When I say performing, you understand what I mean, obviously, I'm not performing on the field anymore.
"But I never had my kids at a stadium looking at me with my team, being an 'actor', because when I had my kids I was almost at the end of my career. Maybe that's what was missing," Henry added.
Henry is now hoping France will feel more of the Olympic vibe as they will play their first game in Paris since the tournament started.
"We're now realising more what is happening now that we are in Paris," he said.