Nasri was surprisingly omitted from the 23-man contingent by Les Bleus boss Didier Deschamps, with the likes of Antoine Griezmann, Remy Cabella and Moussa Sissoko preferred ahead of the City playmaker.
Speaking to the BBC in a pre-World Cup edition of Match of the Day, Henry, who won the 1998 World Cup with Les Bleus, admitted he was unsure as to why Nasri has been ignored after a sparkling season which ended with a Premier League title win.
The Arsenal legend said: "Samir had an amazing season with Manchester City and I actually don't know why Didier Deschamps didn't pick him up, he must have a good reason, knowing him, so obviously not having [Nasri] around is not easy for the team."
Henry also bemoaned the absence of Bayern Munich winger Franck Ribery who will miss the tournament with a back injury.
"Ribery is the art of the team. We have some good young players around, but Ribery is the X Factor that can make the difference at any time and we're definitely going to miss him.
"I would settle for the quarter-finals. I would love for them to win it, it would be amazing for this young team and generation and also for French football, but you have some tough competition around. I would take quarters and if they can go further and win it, it would be amazing."
Finally, Henry, who scored 228 times for the Gunners, paid tribute to Deschamps for turning around a team in disarray following the debacle of the 2010 World Cup that was marred by in-house fighting, player revolts and expulsions.
"Of course [the memories of 2010] stayed for awhile," added Henry. "But Deschamps arrived and changed the atmosphere, changed the mentality and the fans are all behind the team, and although we went through the qualification playoff against Ukraine and actually lost the first leg, being able to change everything at home, it did change everything."