The first-leg of their round of 16 Europa Conference League tie finished 0-0 last night at the Amsterdam Arena.
Henderson said: "It was a good match and we had good chances to take the lead. We also defended quite well and it was a fairly even game.
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"The atmosphere was great but we just couldn't score a goal even though we had a couple of half chances. It's good that we're keeping a clean sheet again, but we're only halfway there and we'll have to put in a big performance now.
"We definitely still have to improve, but we can take a lot of positives from this game and hopefully we can work towards next week with confidence and get a big result there."