The Reds, who have now drawn both their Champions League matches, had 16 shots on the night and a number of clear cut chances that they failed to convert.
Henderson said: "It's disappointing. We controlled the game from start to finish so we should win it comfortably.
"We have got to make sure we don't give goals away first and foremost.
"On another day it could have been three or four. The performance was decent but not enough to win the game.
"I thought we defended well for the majority of the game. But we have to finish the game off and be more ruthless."