The Spanish side teased Coquelin’s arrival on Twitter, with reports in Spain claiming Arsenal could get as much as £22m from a deal that should be officially announced in the next 24 hours.
Henry was at Stamford Bridge on punditry duty with Sky Sports when he was told about Coquelin’s soon-to-be-confirmed departure, and seemed surprised that he was being allowed to leave.
The former Arsenal striker’s eyebrows nearly hit the ceiling as he puffed out his cheeks in scenes reminiscent of his astonished reaction to Brendan Rodgers’ sacking several years ago.
Speaking about Coquelin’s move, he told Sky Sports: ‘I’m happy for him because he’s going to go to a team that is challenging at the minute in a very difficult league to win.
‘But he’s going to enjoy himself. He couldn’t play [for Arsenal] for some reason.
‘He went from, I remember my first game was at Man City and I called him the police officer or something like that because he was shielding everything.
‘And then obviously he’s not playing anymore. But, hey, sometimes you have to move on.’
On Arsenal’s January window dealings, which could see Alexis Sanchez leave, he continued: ‘Yes [it could be tricky] in a way, because we’ve been waiting for those guys to come and make sure they can help this team play better.
‘I think I was looking at it on TV yesterday, and they were saying who Arsenal can sign. For me, I could do with Sanchez and Ozil signing. Instead of looking at others, those two guys that you should have signed up a long time ago are not secured yet.’
More: Arsenal FC