The skipper had a problem during the 80th minute of his team's 3-1 win over Brighton.
He scored in the game, but he had to come off late on after a possible knee injury.
And Klopp is worried it could be a serious blow for Henderson.
"I don't know [how serious it is], I don't know, honestly," Klopp said in his post-match press conference.
"I didn't see the situation back on the pitch, but I know that it will not be nothing, probably.
"That's how it is, but we have to wait. I cannot say more."