The Sun says the 20-year-old goalkeeper is out of contract next summer and is yet to be tied down to a new deal at Old Trafford.
Henderson, who has shone for Shrewsbury Town on loan so far this campaign, is now starting to attract attention from big guns at home and abroad.
United's Premier League rivals Arsenal are closely monitoring his situation as they plot a swoop for the soon-to-be out of contract ace.
The Gunners would have to pay a compensation fee for the starlet, but they could be pipped to his signature by Benfica.
The Portuguese giants, who signed fellow Three Lions youth star Chris Willock from the North London side this summer, are also keen on Henderson.