Sunderland played out a 2-2 draw with Watford in the Premier League on Sunday.
The 21-year-old has been a central part of Watford's successful bid for Premier League survival and has his eye on breaking into the first team at Chelsea.
Arsenal have finished second in the Premier League table, but Henry is not impressed.
It is as yet unknown whether the Spaniard will remain at Newcastle United.
Did Tottenham get it right investing more than £20 million in Heung-Min Son?
Rangers are reportedly interested in Jason Cummings and Graham Dorrans.
West Bromwich Albion have finished 14th in the Premier League.
The Aston Villa man was in a defence which ended up conceding four in North London.
Everton won against Norwich City in the Premier League on Sunday.
MK Dons chairman refused to guarantee Karl Robinson would be manager next season at the end of last month.