A visibly angry Henry walked out of the briefing after press secretary Jay Carney ignored his repeated questions.
Speaking to colleague Brian Kilmeade on Monday, Henry said that, though he looked annoyed, he had to duck out to appear on television.
"The briefing went on for about 40 minutes and I didn’t get a question, for whatever reason," he said. "I guess Jay Carney will have to answer that. I don’t know why, I guess maybe he was upset. I wasn’t. I was running to do a live shot."
"Does he do that a lot?" Kilmeade asked of Carney.
"That hasn't happened before, ever," Henry said, adding later that the "professional thing" for Carney to do would have been to call on him.