Henman has chosen not to travel to the final, with security alerts in Belgium following the Paris attacks.
Britain will attempt to win the team title for the first time since 1936 against Belgium in Ghent from Friday.
Henman said it was not "worth the hassle" to go, but organisers are "confident" the event will go ahead.
The British team have delayed their journey by 24 hours and plan to set off on Monday as Belgian capital Brussels - 35 miles from Ghent - enters a third day under the highest level of terror alert, amid the threat of Paris-style attacks.
Henman had been planning to take his family to watch, but told The Times he would no longer be taking his three daughters to the event and would instead be watching at home.
"It is unsettling," Henman told BBC Sport. "I was on the way to play in the Davis Cup in Ecuador on 11 September [the day of the 9/11 attacks in 2001]. I was flying to Miami but diverted to Bermuda and had to fly back to London.
"That was an unsettling time. It wasn't much fun being on an airplane then, but we had the security measures in place so we could carry on and concentrate on the job in hand.
"Hopefully they'll be able to do that in Ghent this weekend.
"They are going to be consulting a lot of people outside the LTA - obviously the ITF, the embassy, the British and Belgian governments - to understand what security measures are going to be put in place.
"Fingers crossed, they're going to be able to continue because it would be very disappointing for everyone if the Davis Cup final wasn't able to be played this weekend."