Goals from Naby Keita and Roberto Firmino put the Reds 2-0 ahead after 26 minutes of play at Anfield on Tuesday night.
Jürgen Klopp's side were unable to add to their lead after the half-time break, although Henderson pointed out the result was a job well done against a threatening opposition.
The captain told BT Sport: "They're a good team with good players. You can see that they're dangerous going forward. They had a couple of half-chances I think.