Henderson has skippered the Reds since Steven Gerrard left the club last summer.
"Jordan is a good guy and a good player but he's not a great player and I just think the job is a bit too much for him," McMahon told Fox Sports Australia.
"I just think okay or good is not good enough for Liverpool Football Club and I think you have to earn the respect and the right to be skipper there but having said that, who else would be captain?
"There aren't many options in that squad.
"Is there anyone else you'd choose? Probably not."