The 31-year-old said he would return for England duty if Gareth Southgate has no other options. But otherwise Vardy has effectively ended his Three Lions career.
Vardy's decision left Southgate with just one established striker - Danny Welbeck - for the bench in Saturday's loss to Spain.
"Yeah, a little bit," said Liverpool captain Henderson. "I know Vards and he's a robust player. He's always fit and does not get many injuries. Obviously you've got to respect his decision.
"He spoke with the manager and he felt that was the best thing for his career at this moment in time.
"We have got plenty of other good strikers like Rashford. Welbs came on and he's been doing fantastically well in training, so hopefully it gives them an opportunity now."