Reading loanee Henry unleashed two unstoppable strikes from outside the box as the home side ran riot with four goals in the opening half an hour and completed the scoring after the break.
Headers from Andy Frampton and Steve Morison completed the rout to leave beleaguered Barnes clinging on to his job.
Henry grabbed the first after just six minutes when he curled in a 20-yard free-kick and just three minutes later it was two when Frampton headed home from six yards.
It was from the right side that the winger produced his next piece of magic, his looping cross after 23 minutes being met by Morison's glancing header to make it three.
Sensing blood, Millwall attacked again and a shell-shocked Rovers allowed Henry to unleash a superb 25-yard drive which found the bottom corner of the net in the 27th minute. And after Marlon Broomes had received his marching orders for a second bookable offence in the 84th minute Henry put the icing on the cake by converting the resulting free-kick.