The report has also claimed of interest from Brighton and Hove Albion in the 23-year-old left-back.
Henry has been on the books of Brentford since 2016 when he joined from Walsall and has established himself as an important player for the Bees.
The left-back played an important role in the Bees reaching the Championship playoff final this past season.
According to WhoScored, the 23-year-old provided three assists in 49 league games for Brentford in 2019-20.
During the 2018-19 campaign, the youngster made 13 starts and one substitute appearance in the league for the Bees, scoring one goal and providing two assists in the process, according to WhoScored.
Compared to Ashely Cole
Ashley Cole is one of the best left-backs of all time, and fans of Leeds, West Brom, West Ham and Brighton will be encouraged to read previous comments of Dean Smith comparing Henry to the 39-year-old former Arsenal, Chelsea and England international.
Smith, now in charge of Aston Villa in the Premier League, worked with Henry at Walsall and at Brentford, and he spoke highly of the 23-year-old back in 2015 when he was a teenager.
Smith told BBC Sport in October 2015 when they were at Walsall: “If I were to liken him to anyone it would be a young Ashley Cole. And it’s up to him how far he can now go in the game.
“I’ve recommended him a couple of times to the England Under-19s because, if there’s a better left-sided player in the country at 18 years of age, I’d like to see them.
“That’s probably me being a little bit biased because I know the kid and what he has to offer. He’s got a great desire and a will to win. His attitude and application to everything he does is spot on.”