The killing on Saturday was confirmed by Didacio Camargo, press chief for Panama's National Police.
Authorities say that the 33-year-old was leaving his home in Colon province when a gunman shot him several times, with two others wounded in the attack.
Henriquez was subsequently taken to a nearby public hospital, where he died.
President Juan Carlos Varela condemned the killing on his Twitter account and called for authorities in Colon to bring those responsible to justice.
Henriquez, who played for Arabe Unido, was a member of Panama's squad for recent World Cup qualifiers and played the last 20 minutes of their 1-1 draw with the United States in March.