Henna has a tannin dye molecule, Lawsone, or hennotannic acid, that is small enough to penetrate a skin cell.  If you put henna paste on skin, the dye molecules will penetrate down the columns of skin cells.  They don't spread out, as ink would on blotter paper, they go straight down as ink would on corrugated cardboard. That is why the pattern stays clear and in place till the last day of exfoliation.

The skin cells closest to the henna paste will have the greatest dye saturation.  The skin cells farthest from the henna paste will have the least dye saturation. 

"Number of Cell Layers of the Stratum Corneum in Normal Skin - relationship to the anatomical location on the body, age, sex and physical parameters"
Zhen Ya-Xian, Takaki Suetake, Hachiro Tagani
Archive of Dermatology Research, 1999, Issue 291: 555-559; Springer-Verlag, 1999

"Skin, the Human Fabric"
Doug Podolsky, US News Books, Washington DC, 1982

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