The Reds enjoyed the lion's share of possession against their hosts in Russia and looked likely to go on and pick up their first Champions League win of the season when Philippe Coutinho cancelled out Fernando's opener in the first half.
However, Jurgen Klopp's side wasted a plethora of chances on their way to a second Group E draw, and Henderson admitted that they need to improve at both ends of the field.
"It's disappointing. We controlled the game from start to finish so we should win it comfortably. We have got to make sure we don't give goals away first and foremost," he told BT Sport.
"On another day it could have been three or four. The performance was decent but not enough to win the game. I thought we defended well for the majority of the game. But we have to finish the game off and be more ruthless."
Liverpool, who have now won just one of their last six matches across all competitions, take on Maribor on matchday three.