Dembele has emerged as a late target for Chelsea ahead of tonight’s 11pm transfer deadline.
Celtic are demanding £40million for the 20-year-old, who they signed for just £500,000 from Fulham last summer.
And Henry believes the Blues made a huge error by failing to recruit the French striker last summer.
Thierry Henry believes Chelsea made a huge mistake by not signing Moussa Dembele last summer
However, the Arsenal legend believes Dembele would be a good addition to Chelsea's squad.
"It’s a massive mistake from the teams in the Premier League," Henry told Sky Sports.
"He was playing for Fulham. That’s bad from whoever’s going to get him because he was there, and by the way just down the road from Chelsea.
"That’s the price [£40m] you’re going to have to pay now and you know, we can all talk about is he worth it or not, you have to pay.
Chelsea target Moussa Dembele boards flight to London
Tue, January 31, 2017
Celtic striker Moussa Dembele has been spotted on board a flight to London on deadline day amid rumours of a move to Chelsea
1 of 7
Moussa Dembele has been spotted on board a flight to London on deadline day
Get Quotes on Home Insurance
Chelsea target Moussa Dembele has scored 20 goals for Celtic this season
"We knew what he could do already at Fulham. I was very shocked that no one came and got him in the Premier League.
"He’s a great guy, he can score goals, he’s doing well also for the Under-21s in France – there’s talk of him maybe going into the national team so you know what you’re going to get.
"He knows the English game a bit. He never played in the Premier League [he actually did, playing twice for Fulham in their relegation season] but if you play in the Championship and you score goals and you can score goals also in Scotland then you know about the physicality part of the game.
"I think it’s just preparing the future for Chelsea."