Henderson opened up on his reaction to hearing he would be allowed to leave a few hours before a Europa League tie against Hearts.
He told the Daily Mail: "Brendan [Rodgers] called me in and said 'listen, this is the offer' and he asked me what I thought.
"It implied to me that he would let me leave and it was up to me. I went back to my room. I shed a few tears. I ended up crying a little bit because it hurt so much. I had the game that night to think about it as well.
"I spoke to my agent and told him what had happened and I said I didn't want to go. I wanted to stay and fight and try and improve and try to prove the manager wrong. My agent agreed. I spoke to my dad. He was gutted but he backed my decision to stay and fight.
"From that point, I just kept my head down. I knew I wouldn't get as much game time as I wanted but I still had faith. I was young enough to get my head down, keep working hard, do my extra bits and prove them wrong and I feel I managed to do that by the time Brendan left.
"There are always those moments in football - and life in general - which can decide the path and the route you go down. For me it was never an option to leave."