However, Henderson claims everyone is focusing on winning the Champions League final against Real Madrid on Saturday instead.
He told reporters: "The mood is good, to be honest. Training was very good today, I can see the excitement in the lads ready for the weekend, that's good.
"Of course, we were disappointed on Sunday with the outcome, coming so close and then finding out what was happening in the other game, it was tough to take, but I couldn't be more proud of the lads this season and how we've competed in every single competition.
"We've given absolutely everything [and] played the maximum number of games that we could have played. We've won two trophies so far, and we've got a big opportunity on Saturday to win another, so it's all positive here.
"We've really good morale in the camp and we just can't wait to get going again on Saturday and give absolutely everything one last time this season and try to get over the line to bring the Champions League trophy back to Liverpool."