It just has to be put in perspective, he said in an interview with CNBC's "Power Lunch."
"The stock market is a lot more expensive than it was say, six years ago," Hennessy, portfolio manager and chief investment officer at Hennessy Funds, whose gas utility fund recently won a Lipper Fund Award.
However, 18 times earnings and 16 times forward earnings "is not overwhelming."
"It's not really overvalued or overheated," he added.
On Wednesday, Yellen said, "I would highlight that equity market valuations at this point generally are quite high.... There are potential dangers there."
However, she pointed out that valuations aren't so high when compared to the returns on safe assets, like bonds.
Hennessy believes the volatility is making people nervous. He advises investors stay calm and invest for the long term, because he believes the market is heading higher.
Gina Martin Adams, institutional equity analyst with Wells Fargo Securities, agrees Yellen has a point.
"Valuations are well above long-term averages," she told "Power Lunch."
However, "it really depends on what you're looking at. In our view, there's no magic number to worry about with respect to valuations. Relative to bonds, equities are still pretty cheap."
Adams, who was generally viewed as bearish a few years ago, believes there are three concerns facing the market that need to be watched carefully this year: oil prices, interest rates and the U.S. dollar.
Right now, she thinks all three are supportive of equities.
Oil's recent climb higher is actually positive for stocks, she said, noting there is a strong correlation between oil prices and stock prices.
"The fact that oil prices do appear to have put in a near-term bottom has created some stability in earnings stream that we've been really wishing for most of this year," Adams said.
The U.S. dollar stopped rising in March and has been in a corrective process ever since, she noted.
"We want more stability in the dollar because clearly that's been a big disruptor for earnings."
When it comes to interest rates, she said if long bond rates start to spike higher and inflation expectations start to move very quickly, it's time to worry.
—CNBC's Jennet Chin and Lawrence Lewitinn contributed to this report