The former Bees captain left for Arsenal in the final days of the summer market.
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Reunited with Denmark this week, Damsgaard said: "Christian is a really good leader. He is a legend in Brentford and a player you will always miss on his team because he is a very big personality.
"Christian is the type who always says his opinion and thinks of the team before he thinks of himself.
"He is very professional and really good at creating the right culture."
Damsgaard continued: "When a leadership figure like Christian disappears, others come into character.
"One of them is Jordan Henderson. It is quite natural for him to step into that role because he has tried so much in his career. That way he learns from himself to the younger players."