The Reds are being tipped to become only the second team ever to finish the season unbeaten since Arsenal's 2003/04 campaign.
"I am not really bothered about that. I am bothered about next game and next challenge and seeing where that takes us come May," Henderson told BT Sport.
"The performance level has been really high for a long period of time. We want to continue that, keep doing the things we are doing, keep improving and keep concentrating on the next challenge.
"I still think we can improve. The last 10 or 15 minutes they had a good chance. We can't afford to give teams those chances. Overall, the intensity was really good. We have coped well and need to improve for the derby on Sunday."