Henderson said: “History is important – and we can take a lot from what has happened to this club before.
“It gives you motivation to try to be a part of that history, but to do that you have got to win trophies. This final is another opportunity that we need to take.
“But as I keep saying, we want to have more opportunities to be successful.
“Man City have won three trophies this year and that's where we want to be."