"I certainly see myself, in the future, in some sort of political office," she said.
But French Henry said she is being "urged" to consider the race "by people in higher political positions" in the state, and added that "there's not a day that goes by that someone doesn't mention it."
"People have spoken to me about it," she said, but "I have in no way, shape or form solicited any comments or any advice from anyone on any Senate race."
Democrats have so far been unable to find a challenger for McConnell, who they consider vulnerable due to multiple polls showing him below 50 percent support in the state.
But a number of potential contenders have turned the race down. McConnell is universally considered to be one of the shrewdest political minds in Kentucky, and a race against him — and the nearly $9 million cash he had on hand at the close of the first quarter — would be a tough one.
French Henry was first suggested by Rep. John Yarmuth (D-Ky.) in a conversation with local news station WDRB.
"You know, if you look at somebody like a Heather French Henry ... if she were to decide to run," he suggested to the news outlet.
Some Democrats believe a younger female candidate could be the best contender against McConnell because it would create a strong contrast with the five-term incumbent.
Actress Ashley Judd decided against a run after initially making preparations to jump in the race, citing family concerns.
Democrats are still hoping Kentucky Secretary of State Alison Lundergan Grimes will run, believing her to be the strongest remaining contender, but she hasn't yet made up her mind on the race.
French Henry, who won the pageant crown in 2000 and now owns a gown boutique, for which she designs dresses, is a candidate in that same vein.
She described herself as good friends with Lundergan Grimes, and said they'd likely discuss their decisions on the race, and be supportive of each other.
French Henry has also been active in politics, advocating for homeless veterans through a nonprofit she founded. She said she understood the rigors of politics, having experienced her husband's time in office and a failed gubernatorial run.
In 2003, French Henry struck and killed a mother of four in a 2003 car accident as the woman was crossing the street on a bicycle. She later went on to discuss the emotional toll the accident took on her, including an appearance on the Oprah Winfrey show. There were no charges laid.
Her husband faced numerous controversies that could be used against French Henry if she decides to run.
Steve Henry was accused of violating state campaign laws during his gubernatorial campaign and ultimately made an Alford plea, in which a defendant maintains their innocence but admits there's enough evidence to convict, and paid multiple fines.
French Henry said, however, that she had discussed her interest with her husband, and "he's neither here nor there" on the run.
Looking forward, she said that she had no timeline on a decision. Asked what could convince her to run, French Henry balked.
"Other than someone to clean my house for me?" she joked. "I don't know — God would have to make it very evident to me, like a frying pan to the head, and say, 'Heather, you need to run.'"
She admitted that "there's more to sway you nay than there is to urge you to go forward."
"But I'm not one that really takes a huge poll to see how many people out there would support me," she added.
"Internally, it's going to be up to me."