The 29-year old striker has joined the Lions for an undisclosed fee and will officially sign a two-year deal on July 1.
Henderson was keen to remain in the Championship after the Blades were relegated last season and new boss Danny Wilson accepts that the former Reading and Watford man wanted to remain in the second tier.
"We think Millwall have got a good deal," he told United's official website.
"Darius is a very good targetman and we wish him all the best at his new club.
"Following relegation, we are aware that some players will want to move and Darius, who is in his late 20s, feels at this moment in time that it is very important to be playing in the Championship."