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The Frenchman has spoken of his intention to eventually move into management, despite having only appointed as No. 2 to Belgium manager Roberto Martinez last year.
However, Henry is expected to face strong competition with Ryan Giggs and Craig Bellamy for the Wales managerial job.
According to reports, there’s a strict criteria from FAW that must be met by any coach they appoint, which includes the successful completion of the FAW’s pro-license scheme.
Henry passed the course last year, while the Manchester United legend and Bellamy are also graduates. Wales also want to ensure highly-regarded coach Osian Roberts keeps his post and that any new manager works closely with him.
Henry reportedly formed a close bond with Roberts when the Frenchman did his studies and passed with ease. The pair have remained in contact, which could give Henry an advantage should the Frenchman be interested in taking the vacant post. Only time will tell if the Frenchman will be willing to leave his role at Belgium for the Wales job.
Following Coleman’s exit after last week’s friendly draw against Panama, Wales are next in action in March next year, when they will play in the China Cup.