Henderson played the full 90 minutes of normal time but was then withdrawn seven minutes into extra time to be replaced by Eric Dier, leaving him helpless to watch as Croatia scored a 109th-minute winner to snatch the victory.
"This has been the greatest summer of my life with England. To play in a World Cup is so special. The support we've had has been unbelievable and we just wanted to make everybody so proud. That's why it hurts so much that we couldn't get over the line," Henderson is quoted as saying by the Evening Standard.
"I had a tiny hamstring issue from the last game but it was fine to play. But I just felt it a little bit again in the game. In such a crucial match you can't carry anyone, so it was probably the right thing to bring me off.
"But the pain of defeat is greater than that of my hamstring. My body is not too bad. Emotionally, it is just devastating to come this far and not quite get over the line. We gave everything, left everything out here and that's all you can do."
Henderson is likely to be left out of England's third-place playoff against Belgium on Saturday.