While growing up, the defender played as a striker until the age of nine before he was drafted to the defence.
The 30-year-old said that Henry, who has cemented his place as a Premier League legend after scoring 175 goals in 258 games, made him fall in love with Arsenal.
"It was mainly because of Thierry Henry as I loved his style of play. He was so elegant in the way he moved for a tall striker, which fascinated me, and of course he scored so many fantastic goals," Balogun told Brighton official website.
"To this day he is my all-time favourite player and idol as well – I’ve read his autobiography and I wear the number 14 shirt because of him.
"I also liked his celebrations; they were arrogant in a way but you still loved him for that. He’s the reason why Arsenal caught my eye as a youngster, but of course I also enjoyed watching their other great players like Dennis Bergkamp, Freddie Ljungberg, Robert Pires, Patrick Vieira. They had a great team back then.
"Before I knew about Thierry I was actually a striker. I played for my first club as a nine-year-old and for the first two years I played up front, but then they moved me back into the defence!
"Even though I’ve played all my professional career as a defender, I have always admired skilful players: Ronaldinho and Zidane back in the day, the Arsenal players I mentioned, and now Neymar, [Kylian] Mbappe and, of course, [Lionel] Messi."
Balogun was limited to just eight Premier League appearances in his debut season in England.
The presence of Shane Duffy and Lewis Dunk limited his game time, but he reiterated his readiness to give his all when called upon.
"I’m not going to lie, it’s never easy, but as I said, you always have to be ready to play," he continued.
"All I can do is show my levels in training on a consistent basis, which I think I have done, and what that has done is also force those two to up their games as well – that’s been my way of contributing to the team even when I’m not playing.
"That’s been a positive because for me, the team always comes first. It’s not nice to be on the bench, but I’m experienced enough to deal with that and there are other areas where you can help, maybe as a mentor to the younger players and to encourage the whole team in the dressing room.
"Whatever position I’m in, whether I’m on the pitch or on the bench, I always give it 100 per cent."
The Super Eagles have been drawn in Group B against Guinea, two debutants Madagascar and Burundi.