Sunderland boss Steve Bruce is desperate to keep his squad together.
Ten Premier League managers saw Sunderland's recent draw at Blackburn and among them were Bruce's former mentor Sir Alex Ferguson, who was checking out Henderson.
Bruce said "Keeping Jordan Henderson and Darren Bent at this club is the biggest challenge I face. But if Real Madrid come in and offer £30million for Jordan Henderson then you have a problem. Players want to improve and go to a so-called bigger club.
"Manchester United couldn't hang on to Cristiano Ronaldo before winning their battle to keep Wayne Rooney. If it is tough for Sir Alex then it is even tougher for me.
"But I think we have a chance because of what we are building here and because I am under no pressure to sell.
"We have got the brightest young prospect in the British game in Jordan. At 20, he has the world at his feet. He is a fantastic footballer. He's 6ft 2in, never gives the ball away, can tackle and he can run. He can do just about everything.
"I'm not surprised that Capello and club managers are following him. If other clubs do their homework they will all come to watch him. But I will do my upmost to keep Jordan and the team together.
"The last thing you want to do is to dismantle a team. I had to do it at Wigan. However, I am realist and when I was at Norwich and Manchester United came in for me it wasn't about money, it was about fulfilling a dream.
"But we will do everything we can to keep him and he is a regular fixture now in his hometown team. How many 20-year-olds are playing week in, week out in the Premier League? Not many."