"We have a lot of respect for what he's done, but we're not going to think about very much.
"I'd have preferred him to be with us and to be giving his advice to me."
Henry is France's top goalscorer with 51 from 123 matches, while Giroud — who Henry has criticised in the past — is fourth on the list.
Henry joined the Belgium camp in late 2016, after former Arsenal boss Arsene Wenger told him he could not remain as the club's junior coach and also work as a football analyst on TV.
Belgium were seen as underachievers at that point, particularly after losing to Wales in the Euro 2016 quarter-finals. Martinez wanted Henry to develop a winning mentality, and draw more out of Belgium's forwards.