Henderson was superb in Saturday's 0-0 draw at Selhurst Park.
He said: "I love these nights. There's nothing to lose, you can just throw yourself around. It's great, so I'm delighted with how it went today.
"A clean sheet isn't just the goalkeeper's – it's all the team's – and everyone ran round, worked hard, closing people down, stopping shots, so I'm delighted for everyone."
Henderson also told Sky Sports: "I think, in the end, it was (a good point). We missed a couple of key opportunities. There was one in the second-half where we could have scrambled the ball over the line (via Ismaila Sarr). Andre Onana made a great save and we were unlucky in the end.
"I think it was certainly, after the first-half, it was a game of two halves. I think we will take the point and be delighted with it."
Henderson added: “I think we were attacking the game to win it, and we had a gameplan to do so. They actually did really well.
“I don't think it quite worked in the first-half. We made some tweaks in the second-half. We were a bit more aggressive and on the front foot, and that's why we had a bit more success in the second-half.
“(At half-time the manager spoke about) the intensity and the belief. He was obviously frustrated with the way we were playing – he felt like we were playing so cautiously. He said to take the safety cap off and go for it, we've got nothing to lose.
“Nights like this, you've just got to take it on the front foot and try and have a go. The first-half was disappointing from our point of view and we were a bit better second-half, but there's more to come."