The Reds were beaten Belgrade in the group stage and narrowly qualified for the knockout rounds.
Speaking ahead of the final against Tottenham on Saturday, Henderson said Klopp doesn't react to poor performances by ranting and raving at his players.
"He'd rather wait a day or two, watch the match again on video, then get his point across without too much emotion.
"To be fair, we knew ourselves that neither of those games were good enough and we had fallen way short of our standards. There was no intensity, no rhythm. It wasn't good at all. Belgrade was a kick up the a***."
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