The Spaniard attacked from 50km out, but was unable to shake-off Colombian Henao by enough time to claim victory.
David de la Cruz (Quick-Step) won the stage having spent the day in the breakaway.
Henao becomes only the second rider from Colombia to win Paris-Nice after Carlos Betancur did the same in 2014. Henao’s win is also the fifth for Team Sky since Bradley Wiggins won the race in 2012.
Paris-Nice 2017 stage seven highlights
Sergio Henao (Team Sky) moved into the overall lead of 2017 Paris-Nice on Saturday with one stage remaining, after placing fourth on the race’s big mountain stage.
Richie Porte (BMC) made up for the disappointment of the preceding week by putting in a solo attack to net the stage victory ahead of Alberto Contador (Trek-Segafredo) and Daniel Martin (Quick-Step Floors).
Martin now moves up to second overall behind Henao overall, with Contador a close third.
The testing final stage that starts and finishes in Nice features five categorised climbs, and the race is far from over yet.
Paris-Nice 2017 stage six highlights
Yates timed his attack just after the remnants of the day’s escape group had been caught. His move was made without reaction from his GC rivals, and he soon built up an advantage of over half a minute going into the 1.3km final climb to the line.
Behind Yates, there was a battle for positions with Sergio Henao (Team Sky) capitalising on some solid work by team-mate Mikel Nieve to place second. Richie Porte (BMC) came in for third, with overall race leader Julian Alaphilippe being led home by Quick-Step Floors team-mate Dan Martin in fourth.
Paris-Nice 2017 stage five highlights
Greipel positioned himself well in the peloton as it weaved its way through a series of roundabouts and turns into Bourg-de-Péage on the longest stage of the race.
Heading into the finishing straight, the riders had to tackle a slight rise to the line into a block headwind. Greipel’s raw power came to the fore, as the German left his rivals standing to take the victory by over a bike length.
Julian Alaphilippe (Quick-Step Floors) finished safely in the peloton to retain his overall lead in the race as it continues to head southwards and into much hillier terrain.
Paris-Nice 2017 stage four highlights
The only time trial of Paris-Nice 2017 saw a big shake-up in the overall standings, as overnight leader Arnaud Démare (FDJ) fell down the general classification, with stage winner Julian Alaphilippe (Quick-Step Floors) moving in to yellow.
Alaphilippe, starting the day in second overall, produced one of the best rides of his career so far, clocking the best time at the intermediate split at the bottom of the final climb, then extending his lead to win the stage by 19 seconds.
The Frenchman beat Alberto Contador (Trek-Segafredo) into second place, after Contador’s time had earlier been enough to hold off Gorka Izagirre (Movistar) by a single second, and Tony Gallopin (Lotto-Soudal) by even less.
The race continues on Thursday with a 199.5km-long flat stage from Quincié-en-Beaujolais to Bourg-de-Péage.
Paris-Nice 2017 stage three highlights
Although the weather may have been calmer and the action less chaotic than the preceding two days, but stage three of 2017 Paris-Nice still managed to deliver a surprise.
Irish sprinter Sam Bennett (Bora-Hansgrohe) convincingly out-paced a host of top sprint names to take the victory in Chalon-sur-Saône. It was the 26-year-old’s biggest win to date.
Tour of Flanders winner Alexander Kristoff (Katusha-Alpecin) and Paris-Roubaix winner John Degenkolb (Trek Segafredo) had to settle for second and third places respectively, with Marcel Kittel (Quick-Step Floors) finishing in fourth.
Arnaud Démare (FDJ) came home in sixth place to retain his overall lead going into Wednesday’s key individual time trial stage.
Paris-Nice 2017 stage two highlights
The second stage of Paris-Nice provided just as much excitement as the opening day, with crosswinds splitting the bunch to pieces within just a few kilometres of the start of the day.
The big victim of the split was Richie Porte, who lost more than 14 minutes to drop out of overall contention, while Alberto Contador was briefly caught out before regaining contact with the front group.
By the time the race reached the finish in Amilly, the stage was set for a bunch sprint, with most of the big-name sprinters in contention.
However it was one of the lesser-known riders who hit the front early, with Sonny Colbrelli proving the strongest as he was able to hold off a rapidly advancing John Degenkolb to take the biggest win of his career.
Paris-Nice 2017 stage one highlights
It was meant to be a straightforward day for the sprinters, but it turned out to be anything but.
Wind, rain and the difficult terrain made it a day only the strongest riders were going to get something worthwhile out of day one of Paris-Nice 2017.
Echelons and crashes were the name of the day, and a lot of GC hopefuls saw their chances of adding this Paris-Nice title to their palmarès dealt a significant blow. Or in Romain Bardet’s case, out of the window completely.
It’s not called the ‘Race to the Sun’ for nothing and the riders will certainly be hoping that things improve as they head southward on Monday’s stage two after a difficult introduction on the 148.5km route to Bois-d’Arcy.