Sancho is being linked with Liverpool this week.
And Henderson says the sky is the limit for if he keeps his head down and continues to work hard.
"He is a top player, a special player, that in training he has got something different and he's sharp and able to get past players with ease.
"Also he's got a good head on his shoulders, he loves football, wants to improve, listen and learn so if he just continues on that path the sky's the limit for him really.
"He just needs to keep working hard and listening to the people around him and keep doing what he's doing.
"He's been brilliant for Dortmund and England, so he just needs to carry on."