The Reds are defending their European crown, which only Real Madrid has managed in recent memory.
While they are still blessed with an incredibly talented squad, Henderson does not see them as being the de facto favourites.
Henderson said the following to the club's official website: "I think it's too early to be saying stuff like that.
"For us, we've started the season really well and we just want to continue that on.
"We still feel we can improve and still get better, so that's what we try to do tomorrow night, try to give everything and start the campaign off really well.
On Tuesday's first Champions League clash of the season against Napoli, the Englishman added: "Maybe [we are favourites], but I feel as though being at Liverpool, everybody wants to beat you anyway. It's the same for us – we want to beat everybody we play, they want to beat us.
"For us, it's the same as it always has been – to give everything in every single game we play.
"We know that it'll be a tough game tomorrow, they're a great side but we've got to concentrate on what we can do. If we can perform to the level I know we can then we have a good opportunity to win the game."