Grealish was speaking to the Arsenal legend, who works as a pundit for CBS Sports along with Kate Abdo, Jamie Carragher and Micah Richards.
Spirits were high after Manchester City claimed their first Champions League title after beating Inter Milan 1-0 at the Ataturk Olympic Stadium on Saturday night.
It also saw City claim an incredible treble, having also won the Premier League and FA Cup.
Grealish and Walker found themselves in a buoyant mood as they were interviewed by Henry, who had a question turned on him.
The forward quizzed the Gunners icon on whether he thought he could get the better of Walker.
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Grealish asked: "Off the left, do you reckon you'd take him on seriously?"
And Henry replied: "In my prime? All day!"
It led to some reaction on social media from Arsenal fans, who loved to see their old favourite bite back.
One replied: "Lmaoooooo Thierry Henry had defenders that were all-timers fighting for their lives, Kyle Walker would be food to him."
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Another said: "Grealish is wild for this question does he know who he's talking to."
And this fan said: "Henry dusted Canavarro, Nesta, Maldini, Carlos, Ramos etc. Who is Kyle Walker."
A fourth wrote: "He really doesn't know who Henry was. Man will turn Walker to a turn table."
This fan tweeted: "Henry would make Walker want to retire after one match he was that good, whenever I watched us against Arsenal and Henry was there I was always worried."
Henry retired in 2014 at a time when Walker was making a huge impression at Tottenham, where he won PFA Young Player of the Year in 2012.
But it would be an interesting battle to see the two fighting it out when they were in their prime.
While Henry has been recognised as arguably the best player ever in the Premier League, many might put Walker in their best XI in the league.
And he has the trophies to back it up, especially this season where City were dominant across the Premier League, Champions League and FA Cup.
They triumphed over Arsenal to defend their league crown and vanquished Manchester United in the FA Cup final.
But City were most impressive in the Champions League, where they destroyed Real Madrid and Bayern Munich as they reached the final.
Inter Milan put up a better fight than many expected but they, too, could not breach a strong defence - despite some very close calls.
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However, Walker and Grealish were not the only treble winners during their chat with CBS Sports with Henry also claiming the prestigious feat in 2009 with Barcelona.
Both sides were managed by Guardiola, who might go down as the best manager in history.