But Henderson believes the defeat inspired them to last year's triumph and their Premier League campaign this season.
"I think losing the Champions League final the year before against Real Madrid, that was the worst feeling in my career in football and for a lot of us," he said.
"Having been through that having played such a good season, I felt we were going in the right direction and were still improving.
"It gave us that extra bit of fuel to the fire to go again the following season. We felt there was still more to come from us as a team, and what we then managed to achieve in the league and the Champions League was fantastic.
"To lose the league on the last day was a sore, tough moment for the team, but then within a few weeks it was the best moment of our careers so far. It was a quicker turnaround in terms of emotions last season, from May to the start of June. It was massive for us as a team to finally get the first trophy over the line. Since then, the confidence has just kept growing."