Rashford missed the Three Lions' first training session with a knock, but Henderson says it wasn't his fault.
"No it wasn't me – and if it was, I still wouldn't tell you. But he's not too bad, I don't think. It's a knock in training.
"I think we've still got five days before the first game so it's just a little bit of a precaution for him to make sure he is OK.
"It was a good session today. We didn't do too much after the travelling yesterday but it is good to get out here and good to get to preparations started for the first game."