Atletico hold a 1-0 advantage in their Champions League round 16 tie ahead of the second-leg at Anfiuld.
But Henderson, writing in last night's match programme, declared: "We've had setbacks and adversity within games and we've reacted in the right way. We've had setbacks and adversity with injuries and illness and we've reacted in the right way. We haven't lost that many games as a club recently, but when those defeats have come we've reacted in the right way.
“I think the reason for that is quite simple: we don't make anything bigger than it needs to be. We view every setback as a problem that has a solution. As a group our culture is: find that solution.
“Losing in Madrid was disappointing, bitterly disappointing. But perspective is important and so is not over-inflating it. Truth is, the tie is only at half-time, so there's a long way to go.
“As the manager said, we always remain calm at half-time during a 90-minute game and look at how we can positively impact the second half, so why wouldn't we do that when we have three weeks to prepare for the return? And we'll have Anfield behind us that night, too."