Palace meet Shakhtar Donetsk in the first-leg of their Conference League semifinal on Thursday night.
Henderson said: “It's difficult to put into words really, because obviously we've exceeded expectations.
“I think ultimately, when we come to the business end of the season with this group of players, I think we show up. We don't take a backward step, we take a forward step, and I think that's the most important thing.
“Ultimately, we've got absolutely nothing to lose, so that's the message we keep giving each other: enjoy it and don't freeze – just embrace everything.”
Henderson added: “It’s not something I think about, lifting the cup. It's more thinking about the process of how we lift the cup.
“And I think ultimately it's a cliché, but we've got the semi-final to come and we know Shakhtar are going to be a very tough team to play against."