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Messi, 34, was unable to sign a new Barcelona contract this summer and made his sensational exit from the Camp Nou.
The six-time Ballon d'Or winner completed a stunning free transfer move to PSG and will earn a whopping £25m per year after tax on his lucrative contract.
Messi's arrival at the Parisian-based side has bolstered PSG's hope of dethroning current Ligue 1 champions Lille and challenging for the Champions League title.
Henry, who played alongside Messi at Barcelona, admitted that PSG boast plenty of firepower with the Argentina captain in their attacking options.
However, the former Montreal Impact boss argued that the Ligue 1 club concede too much for his liking and stressed the importance of "balance" in a team.
Speaking to Dimanche Soir Foot on Amazon Prime, Henry said: "At one point, we always talk about great players, attacking, going forward, but we need a balance.
"We are talking about the team in which I played at Barca, but people forget to point out that we weren't conceding a lot of goals.
"In general, teams that don't concede a lot of goals are not far from the title, or even from the Champions League.
"When you have superhuman players, it gets a little easier but when I see how Paris is evolving at the moment, they concede too many goals for my taste to be able to go a little further.
"It is true that there was a lack of players but the balance is the most important."
PSG splashed out this summer to sign right wing-back Achraf Hakimi from Inter Milan for £54m.
The French side also snapped up Euro 2020 Italy hero Gianluigi Donnarumma, Real Madrid legend Sergio Ramos and Georginio Wijnaldum on free transfers.
PSG also made defensive midfielder Danilo Pereira's move to the club permanent in a £14.4m deal with Porto after a successful loan spell.
Mauricio Pochettino has insisted that PSG want Messi to "feel fit and comfortable" ahead of his official debut.
Featured Image Credit: Puma's YouTube/PA
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