The Baggies have slid to the edge of the relegation zone after conceding 24 goals in their last 10 league games.
Henry believes bottom-placed Wolves can make it a miserable start for new West Brom boss Roy Hodgson, saying: "Albion have got a good goal threat, but they're conceding goals. A lot of their games have been wide open. Hopefully we can expose their defensive frailties."
He added: "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."
Henry has plenty of respect for Hodgson, who has replaced Roberto Di Matteo as Albion's head coach.
But Henry also feels West Brom may start to panic in their current predicament after being well clear of the drop zone for much of the campaign.
He said: "Roy Hodgson is a good manager and it's a big game for him to make an impact.
"He will have had a week to prepare them but it's going to be a ferocious game.
"I also think the closer West Brom get to the relegation zone, the more they're going to panic."
Source: PA
Source: PA