In 1729, he transferred the scene of his operations to an old theater at Clare Market, near Lincoln's Inn Fields, where he continued to preach "on the world as it is, serious or ridiculous."

A visitor accused Henley that money was the god whom he worshipped: "we must give One Shilling to the Door-Keeper, for the Seats were personal Property.

In his Dunciad, Alexander Pope called him a "great restorer of the good old Stage Preacher at once and Zany of thy age."

The Connoisseur, a critical weekly paper, wrote that "the Clare-Market Orator, while he turns religion into farce, must be considered as exhibiting shews and interludes of an inferior nature, and himself regarded as a Jack-pudding in a gown and cassock.

He died in London on 13 October 1756. Henley was the subject of contemporary caricatures, among them works by George Bickham the Younger and William Hogarth.

In 1714, he wrote a poem styled Esther, Queen of Persia, which was received with applause, and in 1719–1721, he published The Compleat Linguist; or, An Universal Grammar of all the Considerable Tongues in Being.