The Reds played out a 3-3 draw at home against Benfica on Wednesday, in the second leg of their quarter-final clash.
Henderson told BT Sport post-match: "I think we want to do better overall, but at the same time I felt as though we started the game really well.
"[In the] first half we could have scored one or two more goals. It was comfortable, but I think we'll be disappointed in the goals that we conceded.
"There's still plenty of stuff we can be better at, but overall, we knew it was going to be tough. At 3-1 it is never over, we wanted to give it everything.
"[There was] a lot of changes with fresh legs, but we're through to the next round which is the most important thing."
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