The Dane is often linked with the Liverpool manager by the German press.
Henriksen told Bold: "It's always fun to have such superlatives thrown at you. That is especially so after such a really fiercely talented coach, as Jrgen Klopp is now.
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"But having said that, he has been a coach in Dortmund and Liverpool, so it is perhaps a bit unfair to Klopp to be compared on that basis.
"But it is clear that you are proud when you are compared to someone who is so great.
"However, there is still a long way to go before I can learn to be as skilled as the very best in the world."