The side had yesterday off training and will start preparations for Sunday's final today.
There were no major injury concerns. Ma'a Nonu picked up a "stinger" in his neck, but should be fine to play.
Henry said the All Blacks would start getting their mind back on the job today.
"It's very important to come down. We can't stay up there. And have got to do the business again," Henry said.
"Build again for a test match against the French. They did not play particularly well against Wales in their semifinal, but they have the ability to play extraordinary rugby. They have got nothing to lose and will play well."
Henry said it was important to make sure the week was well balanced and the side did not play the game too early in the week.
The French side will be named tomorrow, and the All Blacks on Friday.
Ticket sales are still $1 million shy of the Government's target.
Prime Minister John Key said yesterday organisers were about $1 million off the $268.5 million target, with tickets remaining for the bronze match between Wales and Australia.
The final was all but a sellout, with most of the remaining tickets put aside for the competing teams.