Henderson came close to joining Fulham after just one season on Merseyside after the two clubs agreed a transfer fee.
"I can remember it like it was yesterday," Henderson said on BT Sport's Between the Lines.
"It was just before we played Hearts at Anfield. I had a conversation with Brendan [Rodgers] in the hotel the day of the game, and to be fair to Brendan, he gave me the option, it was more the club that was willing to let me go.
"Brendan said 'listen, it is down to you. You are not going to be starting as much as you would like but I will try to help you improve on what you need to improve on. You're still young and if you do that then maybe you'll get more game time'.
"I basically went back to my room, cried a little bit and was devastated, really. It wasn't really an option for me to leave because I hadn't been at the club very long and I had worked extremely hard to get there. I wasn't just going to leave."
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