Second-half goals from Danny Ings and Pierre-Emile Hojbjerg secured the three points for Saints.
Hennessey said: “Everybody's head is down. It's three points massively missed for us. We didn't get going from the start, but managed to get in at 0-0. But we started sloppy again, and they punished us."
“We were always chasing, and that led to the second goal as we pushed forward to try to get that equaliser and they punished us."
But the ever humble Hennessey was keen to praise the performance of former Eagle, Alex McCarthy, who kept Benteke and co. at bay.
“Alex played well and made a few good saves, [including] a fantastic save off Christian's header. Unfortunately it just doesn't go in for you sometimes. Chances kept coming and coming, but we just didn't find the net."