The Reds were crowned Premier League champions last week for the first time in 30 years, and their clash at the Etihad was chance to show why they have been the best team in England this season.
"We are not making any excuses," he told the club's official website. "We are bitterly disappointed and we expect more from ourselves but it can be a lesson for us going forward if we want to improve and keep contending for trophies and being in the run-in for the title next season and other competitions as well.
"We need to keep going, keep improving and keep learning. This is a learning curve tonight so we need to react the right way in the next game."
Henderson added: "Listen, we will be disappointed with the goals we conceded of course, but we'll also be disappointed with the chances that we created and we haven't scored.
"So in both boxes obviously we weren't good enough and we were punished, but I thought the attitude of the lads, we kept going right until the end and we came here to win but unfortunately City were better than us on the night."