The Molineux club are just one place off the bottom of the Championship after suffering relegation from the top flight last season and are currently under their fourth manager since February 2012.
The skipper acknowledges it has been a hugely disappointing period for the club but insists they must battle their way out of danger and put in an improved performance next season.
"We are having a bad time and it's been a bad couple of years," Henry told Sky Sports News.
"We are fully aware that we have not performed this season and a few of us, including myself, have not been performing at the levels of previous years.
"So we've got to do whatever we can to stay up. The manager (Dean Saunders) has been good since he has come in and it's just a shame we haven't got the results. But I'm sure we can kick on next season."
The problems at Molineux descended into farce at the weekend as goalkeeper Carl Ikeme reportedly punched a wall in the dressing room after a calamitous first-half error and could now be out for the season.
But Henry sought to play down the incident, claiming he is not fully aware what occurred.
"I'm not sure what happened. I was out warming up. I didn't see it and I think it's healing fine," added the 30-year-old midfielder.