Although Yeovil won 3-1 at Huish Park, they can be thankful to the Welsh international keeper as he repelled the Forest onslaught, including a first-half penalty save from Simon Cox.
Davies told Forest Player: "Yeovil worked harder, we didn't compete well enough, they scored a couple of very good goals, we missed a penalty which gave them a lift and they deserved to be ahead at half time.
"We could probably have played another 45 minutes and we still wouldn't have got past him [Hennessey]. He thoroughly deserved his Man of the Match award."
Despite defeat, Forest remain in the playoff places although trail table-topping Burnley by nine points.