The goalkeeper believes Palace deserved more from the encounter after creating several chances, particularly in the first half.
"Obviously it's very tough to take. We've come in at half-time as the better team by far," Henderson told Sky Sports.
He blamed defensive mistakes and Liverpool's counter-attacks for the disappointing result, while admitting Palace struggled to convert their opportunities.
"We've been done by, I think, three counter-attacks really, which is tough to take," he added.
Despite the setback, Henderson remains confident that Palace can turn their fortunes around if they maintain their performance levels.
"We've got to stick together as a group at times like this. Togetherness is key, and we'll come roaring back," he concluded.