The Merseyside outfit had the chance to take a slender lead via a penalty, but captain Steven Gerrard had his effort saved by Ben Foster, which led to the Baggies netting two goals and snatching a surprise win at Anfield.
"We're all very disappointed," the Liverpool Echo quotes Henderson as saying. "We had a few chances in the game but we just couldn't take them. The manager didn't have much to say after. We all know we didn't play particularly well. I don't think we passed the ball as well as we could have done.
"We had a lot of the ball but we didn't create as much as we have been doing. It's a game we could have won but it just wasn't our night. It's frustrating but that's football. You have to take these things on board and learn from it."
Liverpool are now 12 points away from a Champions League spot in the Premier League table.