The Spain midfielder, for many, has been impressive for the Premier League leaders in his first season in England.
However, the former Real Sociedad captain still has his detractors and Henry told Betway: "People like to talk a lot about everything and everyone.
"First it was Bukayo Saka, then (Martin) Odegaard, then (Viktor) Gyokeres, Chelsea, Cole Palmer, the referee etc.
"You can always raise issues. Zubimendi just arrived in the league, and when Rodri first arrived I remember people weren't sure about him.
"People can say whatever they want, and rightly so. Everything is so analysed by everybody, including myself, but that's how it is at the top.
"If you're not at the top or the bottom, I'm not sure people will talk about you. I've been there, so embrace being criticised, and make sure that at the end you can show something that might prove people wrong."