Henderson inherited the captain's armband upon Gerrard's departure from the club in 2015.
Speaking to the club's official website, the Rangers boss said: "How could I be jealous of Jordan lifting the trophy? He's my mate.
"I am tight with Jordan and we played together for many years with Liverpool and England.
"I was delighted for him and it was so deserved, there is no better professional than Jordan.
"You get out of this game what you put in, so if you go on that then he certainly deserves it."