Henderson captained the Reds to their sixth Champions League triumph with a win over Tottenham Hotspur in Madrid last season.
And the midfielder says Jurgen Klopp's squad want more silverware.
"It's given us a taste of success and we want more of that." he said.
"We have shown that we can win a major trophy and we want to keep making history for this club and this team. We are very confident we can do that."