Henderson was an unused sub for the 3-1 reverse at St Jakob-Park in Basel - one of two finals lost since Jurgen Klopp arrived on Merseyside in October 2015.
Ahead of Saturday's Champions League final against Real Madrid, the England international admits that being on the losing side in a match of such magnitude is a feeling that he does not want to experience again.
"It was the worst feeling ever," The Guardian quotes him as saying. "I remember after the game the manager was obviously down but when we got back to the hotel he had something different about him. He was proud of the players that got to the final and how much we had improved since he came in.
"He had, I felt, a vision that in the future we would get to another final. He was obviously disappointed with the result but he looked at the bigger picture and the future and he felt it could be a big moment in our careers if we learned from the experience.
"He had something about him that made you feel it was the start of something, that there was something he could take forward and use to get the team to another final. And, if we got to another final, we'd be ready.
"Real Madrid are a team of winners. Individually they have world-class players all over the pitch. They find a way to win and that's what the best teams do. That's what we have to do at the weekend, just keep doing what we have been doing through the campaign. We've been brilliant. On the day we have to be brave and play like we know we can. If we do that, we can hurt them."
Liverpool have lifted the European Cup on five previous occasions, most recently doing so in 2005 when beating AC Milan on penalties in Istanbul.