Henry's last job was with France's Olympics team.
He said on CBS Sport:"Do I still want to coach? I don't know. I cannot go further than that on that question in terms of what I'm going to do next because I don't know what's going to come next.
"But I'm happy with CBS, and I made sure that I could do both. It's time-consuming. I know it is just the national team and not a day-to-day job, but it is time-consuming to think about what team you're going to have, scouting games, and all of that. It's not an easy one.
"We are a show that a lot of people talk about. What's ironic is it's a show in the US and everybody talks about it in Europe. I never thought in my life that I was going to get stopped in the streets, and the first thing wouldn't have been my playing career.
"I can go on holiday in the US or wherever, and people come up to me and say, 'I love your show, and you guys are mad funny'. It's a reminder for me and everybody that we do have something special here."