Team principal Dave Brailsford said Sky wanted to conduct tests with the accomplished climber at altitude to resolve issues thrown up by an internal process looking at every rider's physiological profile.
Henao, who joined Sky in 2012 and was 28th in last year's Vuelta a Espana, was born at altitude and lives and trains in Colombia when not racing.
"In our latest monthly review, our experts had questions about Sergio's out-of-competition control tests at altitude - tests introduced this winter by the anti-doping authorities," Brailsford told the Sky website.
"We need to understand these readings better."
Brailsford said Sky had contacted the UCI, cycling's governing body, as well as the Cycling anti-doping foundation, to inform them of the readings and ask for any insights from them.
"We've also taken Sergio out of our race programme whilst we get a better understanding of these profiles and his physiology," he said.
"We want to do the right thing and we want to be fair. It's important not to jump to conclusions."
Brailsford said the team was also commissioning independent scientific research into the effects of prolonged periods at altitude on those returning from sea level, with specific reference to "altitude natives".
"The independent experts are looking to use WADA-accredited laboratories and Team Sky will make the data and findings available to WADA (the world anti-doping agency), the UCI and CADF," he said.
"Sergio will help with this programme and we expect him to be out of the race schedule for at least eight weeks. Once we have completed our assessment, we'll decide on the right steps and give a full update."
- Sports & Recreation
- Dave Brailsford