In 2004,The Rossoneri beat Deportivo La Coruna 4-1 at home in the Champions League quarters, only to lose 4-0 to their Spanish opponents two weeks later.
Barcelona thrashed a helpless Bayern side 4-0 at Nou Camp on Wednesday, but Henry is convinced that Barca have to learn from other big team's mistakes.
"We took a great step into the semis. However, I am not saying we are there just yet," Henry told reporters after the game.
"I remember a game between Milan and Deportivo, it was 4-1 for Milan and Deportivo won the return 4-0, so we will need to go there and be professional and win our game."
The 31-year-old considered that he's looking forward to facing an English team in the semi-finals.
"Whoever we meet in the semis will be tough, but I think Chelsea took a great step, so let's hope for a return to England, and look forward to that." the former Arsenal man added.
Barca will meet the winner of Chelsea and Liverpool.
Chelsea already have a massive advantage over Liverpool in the other quarter final tie, after The Blues beat Rafa Benitez's team 3-1 at Anfield in the first-leg.