However, Henderson believes that the players can look back on their journey positively and move on from the disappointing result.
"I believe in this team," he told reporters.
"I believe in this manager. I believe we are going in the right direction. Will we be back in this final? Yeah, I believe that too. It is so difficult to stand here now just after losing and say all that but that is the truth - It is how I feel. We have to make it happen. I believe we will be challenging in all competitions domestically. The Premier League is important to us and we have qualified for the Champions League next year. We have a young group, a fantastic group of players, who deserve more. We did fantastically well to get here and now we need to keep growing as a team to be successful in future. Now we have to get over that final line – that is the most important. It is difficult, especially against a team like Madrid with fantastic players.
"We are devastated, especially for the fans, but we have to get back to business as soon as possible because we know we are moving in the right direction. You saw that from 2016 [after defeat in the Europa League final]. Only good teams get to the Champions League Final so we have to first make sure this is not the last final we are in, then win those trophies. We have good players here and there are more coming in. We will strengthen. It is hard to be positive now, but come pre-season we will be ready to fight again."
Liverpool finished fourth in the Premier League table this season.