Wanderers were comfortably brushed aside 2-0 away at Burnley at the weekend, leaving the out-of-sorts Black Country club with just one win from their last six games.
"We were not good enough on Saturday and it's as simple as that," Henry told the club's official website. "We picked it up in the second half and had chances, (Bakary) Sako hit a post with a good effort and Sylvan (Ebanks-Blake) maybe should have scored the rebound.
"Apart from that we huffed and puffed and were beaten and probably beaten up a little bit as well. It is a physical game and they always are in the Championship when they come thick and fast.
"Teams can play nice, pretty football in the Premier League but in this division you need to mix it up and I don't think we did that on Saturday.
"We tried to turn them and play long balls but their centre-halves dominated us and won everything in the air. And at the other end we gave them chances with sloppy play and we got dominated all over the pitch.
"We need to pull our finger out on the physical side of the game. The manager wants us to play with a high tempo and keep the ball.
"I think we can keep the ball better than we have done but we've got to turn that into chances and scoring goals and make sure we improve in that area."