The centre-back, who is on loan at the Toffees from Wolves, is with England at the World Cup.
During a Lions' Den episode, Henderson asked Coady if he felt like a red or blue, considering he had graduated from the Liverpool academy system.
He played for the first team as well, getting his debut under Brendan Rodgers in 2012.
“Conor, we are all England here," Henderson said laughing.
“But what I really want to know is. Are you blue or red?"
Coady immediately fired back, saying: “It's so poor from him. We have banter all the time. Of course, I am playing for Everton. He knows deep down.
“So, for him to come out there and ask that question is daft. Of course, I am blue. Of course, I am blue, without a shadow of a doubt.
“For him to say that, you know what I am going to go back there sit down and have a coffee with him. I will give him a bit. That's nowhere near good enough from the big fella. Blue all day long."