Former France and Arsenal star Henry began his playing career at Monaco and was announced as the successor to Leonardo Jardim on Saturday, signing a three-year contract.
The 41-year-old, who oversaw his first training session on Monday, had been working under Martinez with Belgium since August 2016 and the Spaniard backed his former number two to be a success at a club that means so much to him.
On Henry's departure, Martinez told a news conference: "I don't think it's a loss. The initial project was to have Thierry's experience preparing the group for the World Cup and we achieved that.
"After that it's been great for Thierry to want to be with the national team until the natural move would appear. It wasn't a case of leaving for the sake of it or trying to force a move.
"We're all supportive because Monaco is his home, it's where he started as a player and it's a natural way to start his coaching career.
"He will be a top coach, there's no two doubts about it; his obsession for the game, his experience, his know-how, but then we all hope he gets a bit of luck because you always need luck in football."
Appointing a replacement for Henry is on the Spaniard's agenda, something he hopes to have sewn up ahead of the next set of internationals in November.
"I think we need an extra body on the staff. The technical staff is very strong, we've been working now for a long time, but it's important – maybe not for a short camp – but when you're going into a big tournament that we need that extra body, but we're going to take our time," he said.
"It's more assessing what the group needs – they aren't the needs that were needed two years ago and we didn't have the experience that we had in the World Cup. We will be adding someone for November."