Lukaku has endured an injury-punctuated season for Inter Milan since rejoining from Chelsea last summer.
The 29-year-old has only featured 14 times and scored four goals for Inter this season.
Two of those goals have come in Inter's last two matches, including the winner against FC Porto in the Champions League on Wednesday.
Lukaku had recently been criticised by Inter CEO Beppe Marotta to get back in shape and Henry, who has worked with the former Manchester United striker in a coaching role with the Belgium national team, is delighted to see him performing at the top level once again.
"I am so happy for Rom," Henry said on CBS Sports. "He looks fitter, he looks slimmer, he wants it.
"I think he was disappointed that he didn't start. The only answer you can give is on the field, and he did that.
"Great header. The ball goes inside, great cross, that's what you do. You come on the field and try to make an impact to make sure you can ask your coach questions – 'next time am I going to be in the starting line-up?'"
It is uncertain whether Lukaku will remain at Inter at the end of his loan spell or return to his parent club Chelsea, where he had a frustrating time under Thomas Tuchel last season.
"We had a discussion when he went to Chelsea, and I told him he's going to find it difficult to play at Chelsea," Henry added.
"That happened to be the case, because of the way [Thomas] Tuchel liked to play.
"Pressing, you're the nine, I'm the nine, I'm the winger, you're the winger, you have to change. Rom likes to stay where he is. Feed him, play him in early, and he'll try to bully you.
"He was a different type of nine to what Tuchel wanted. Is he going to fit what [Graham] Potter's trying to do? They're struggling enough.
"And what does he want to do? I don't think he wants to go back. That's the main thing. He wants to stay at Inter."
