Henderson returned to Old Trafford this summer after a two-year loan with Sheffield United, but has failed to displace David De Gea as United's primary goalkeeper.
And Keane cannot see another loan move being sanctioned for Henderson when the January transfer window opens.
He told Sky Sports: "It's a nightmare scenario for him. He wants to play for Man United, of course he does.
"Being in goal for Sheffield United and Man United every week is completely different, but he had to go back. Ole wanted to see him and work with him closely.
"You want to get better by playing the games, you can do all the training sessions you want, but if you're not playing every week, the kid's going to go backwards - and that's going to cost him, ultimately.
"For example, if [Jordan] Pickford has a difficult spell - which he always seems to be, in my eyes - then it's probably difficult for Gareth [Southgate] to go and pick a goalkeeper who's not playing regularly.
"It's a difficult situation for Henderson. Come January, do United really want to let him go out on loan?
"I don't think so, because then they need cover for De Gea in case something happens to him."