The Eagles start their debut European campaign this Thursday at Selhurst Park which will be packed of supporters ready to see their side in Europe for the very first time. Ahead of what is a huge occasion, Henderson was first asked on the club's demotion to the Conference League.
The squad are excited for the journey ahead
"It's one of those things. If you win the FA Cup, you should be in the Europa League.
"But the reality is that we are all excited for the journey. Bringing European football to the fans for the first time is exciting for everyone at this club. So we are really looking forward to it."
Eze and Guehi are still committed
The shot stopper was then questioned on on Eberechi Eze and Marc Guehi who have both been linked with moves away from the side in recent weeks and he admits that are both still committed to the side.
"Great lads. They are still committed and professional. It showed in the Chelsea game. Both of them were phenomenal in that game.
"They will stay committed throughout and be there to help the team. They are part of us at the minute and we will keep enjoying it."
Palace can replace Eze and Guehi
Both players have been linked with the likes of Tottenham and Liverpool but Henderson believes they can be replaced if they do depart this summer.
"100 percent! We have lost players before in the past and we survived through that. And we brought the best times to this football club.
"Even when we lost Michael (Olise), we followed it up with the best-ever season in 119 years of the club. You have got to trust the manager and the process, and we will be very fine."
Fans can play a huge part
Finally, he revealed how the club's supporters can play a huge role in helping the side secure Conference League football with a booming atmosphere at Selhurst Park.
"We are looking forward to the game. I expect a good atmosphere tomorrow night. And I am sure the fans will enjoy it and sing very loud. We are looking forward to it and to get the first win and hopefully go there next week and finish the job.
"The fans have been fantastic with the players and myself as well. I have got a great relationship with them and hopefully, that can continue."