Lallana was brought close to tears when speaking about Henderson following the Premier League victory celebrations last week.
The 32-year-old announced his free transfer to Brighton on Monday, but that won't stop the two remaining the best of friends.
“It's obviously very apparent that we are best mates and our wives are best mates, our kids are best friends and go to the same schools," Lallana said.
“I didn't want to hold anything in or block anything in. I felt like I got all my emotion out. As soon as Saturday arrived and Sunday came and I knew I was heading down for my medical on Monday, I was so ready for my next challenge.
“Everything was Brighton this and Brighton that. I know it sounds pretty blunt to put a line under Liverpool but it is. I felt like I dealt with leaving Liverpool and want to make that transition over to Brighton. I felt like I've done that as well as possible.
“Me and Jordan will be in contact forever. Best mates. I'll have to introduce him to the south coast so when we are both retired maybe he'll have a little place down there, who knows."
Lallana's emotional tribute to Henderson is moving.
It reminds you that sport is more than the numbers you see.
— Arjun (@ArjunNamboo) July 25, 2020