It wasn't Henrik's first dream. It was only that he didn't like to talk about them. He always had this feeling that there was something in that world that was eating away at him. At his family. He didn't know what. Not even after the dream he had about actually being eaten.
It wasn't something he wanted Rebekah to know. He loved her and his possible death would hurt her. Even in a dream. He knew that but he said it anyway.
"I think I was dying," he said now so uncertain about what he had seen. He could have lived through that, right? Maybe just lived with some pretty horrible scars. He was mostly telling himself this to make it seem better.