The 23-year-old has enjoyed two successful seasons on loan at Sheffield United.
And The Sun says Henderson would rather leave United than play second-fiddle to David De Gea next term.
De Gea, 29, has been put under the spotlight after several blunders this season, but Solskjaer insists he's sticking with the Spaniard.
This has put Solskjaer in a difficult position as teams have started circling around Henderson, including rivals Chelsea.
The Blues are reportedly prepared to double Henderson's wages.
And if Solskjaer isn't ready to dump De Gea, the Englishman could be out of Old Trafford next season.