The Baggies have slid to the edge of the relegation zone after conceding 24 goals in their last 10 league games.
Henry is aware of the attacking threat Albion can pose and it is goal difference which is keeping them out of the bottom three.
But he believes bottom-placed Wolves can make it a miserable start for new West Brom boss Roy Hodgson.
"Albion have got a good goal threat, but they're conceding goals," he said. "A lot of their games have been wide open. Hopefully we can expose their defensive frailties.
"I think we've got a great chance to win and take points off them. It's the first time since I've been at the club that we've been on what seems to be a level playing field as them and I fancy our chances."
Source: PA
Source: PA