Sky Sports reports that the three clubs are monitoring the 21-year-old’s progress.
Henry has impressed for Millwall this season, after joining the club from Reading last summer.
Millwall are reportedly keen to keep the highly-rated winger at the club.
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Summer 2016 is set to be a very exciting time for football fans, as this is when the long awaited Euro 2016 tournament kicks off.
Since Guus Hiddink arrived at the helm, Chelsea have improved considerably after a tricky start to the campaign.