Synthetic hair dye  penetrates into the cortex of the hair, binding to (or altering) your natural pigment. In order to penetrate into the cortex the cuticle of the hair needs to be lifted - that's why ammonia and hydrogen peroxide are used in synthetic hair dye.

The repeated lifting of the cuticle causes weathering of the hair - some cuticles are destroyed and some will not close properly after repeated colorings. That's why colored hair will loose lustre and shine over time. A closed cuticle lying flat along the strand's surface equals shiny hair that also won't suffer from much tangling (there is nothing to catch against other strands). The more weathered the cuticle, the rougher the hair will feel and the more it will look like the proverbial "rat's nest" you see on some people with long hair that has colored it repeatedly over time.

The ammonia/perioxide combination actually breaks down part of the keratin/protein in the hair each time you color your hair. With repeated colorings you actually can remove enough of the protein to weaken your hair to the point where it breaks off (i.e. disintegrates because there is no structure left to keep it together). That's why protein treatments/masks are so popular with people who color regularly. They're used to replace some of the protein lost to regular colorings - they work to some extent, but not nearly as well as keeping the protein it where it should be - i.e. in the strands - in the first place.

I'm sure you have the commercials in the US as well where the large cosmetics companies try to convince you that the hair color is "moisturizing" and contains "special care ingredients" to "leave your hair completely natural and undamaged". A bunch of bull****, by their very nature they _will_ cause structural damage to your hair - they wouldn't work otherwise. With that not said that hair colored with regular hair color can't look good - it can and often does - but requires some special care and pampering to conceal and to some extent rectify the damage done by the chemicals used.

Henna on the other hand will not lift the cuticle the way regular hair color does, nor will it break down the protein structure of your own hair. It will in fact strengthen it as it combines with your own keratin to make it stronger - think of it as a natural protein treatment.