Henderson insisted it was not an easy decision to quit Sunderland, the team he grew up supporting.
"You've got to think about these things," he said.
"It's a massive, massive thing in my life and my career but obviously it's a great opportunity for me to go there and improve as a player.
"So it was an opportunity I couldn't really turn down to be honest."
Henderson added of the past five days: "It's been a little bit hectic but it's been brilliant as well.
"So a really good week for me and hopefully it'll get better."