Oliver Glasner’s side beat Ukrainian giants Shakhtar 5-2 on aggregate to reach their first ever European final.
Palace are now just one game away from winning their third trophy under Glasner, a remarkable feat considered they had never won one before he was appointed.
Speaking to TNT Sports after the game, Henderson, 29, hailed his sides achievement along with his teammates.
"It's incredible for the football club. You see the connection between the players and the supporters, it's fantastic. It's unbelievable,” he said.
"The manager came in, made this team believe we can win any game. It's been a difficult season obviously with the amount of games we've played - but we've delivered another final, which is fantastic.
"It's been difficult. Just the amount of games. We had a small squad leading in December, January but we've managed to push through now."
Palace will now face Spanish side Rayo Vallecano following their win over Strasbourg.