Bournemouth have been without a manager since they sacked Jason Tindall earlier this month and have been on the lookout for candidates over the last couple of weeks.
Former Nice coach Patrick Vieira has already interviewed for the role and former Huddersfield Town and Schalke boss David Wagner has been linked.
But it emerged recently that the Bournemouth hierarchy are zeroing in on Henry as their new manager.
The 43-year-old assisted Roberto Martinez for Belgium before having a disastrous spell as coach at Monaco.
He is currently in charge of MLS side Montreal and is believed to be keen on working in Europe again.
But Redknapp conceded that he is surprised to see that Bournemouth want him as, despite all his achievements as a player, Henry has done little of note in his management career thus far.
He told talkSPORT: “It’s a complete surprise.
“Someone said to me a couple of days ago, ‘Oh Thierry Henry’. I went, ‘No, you mean Patrick Vieira’ and he went, ‘No, I have heard Thierry Henry’.
“What a player but I don’t know, can he manage? I have no idea, he has got no track record.
“He is a great lad.
“I met him and he is a smashing fellow and as I said, history as a player was incredible.”
It remains to be seen whether Henry accepts an offer take charge of a club in a cutthroat league such as the Championship after his bitter experience at Monaco.
