Palace won 2-0 on Thursday night to reach the round of 16 3-1 on aggregate.
Henderson said afterwards: "Obviously, the lads did the job. They were fantastic, and I knew we'd get a good reaction.
"As the manager said it's three in six (clean sheets). And we've got to get back to that.
"That's what has made us successful over the past couple of seasons, being solid in defence and ruthless in attack. That's the motto. We've just got to try and build that momentum."
On winning the competition, Henderson also said: "We're hungry for more. But I think it's cliché in saying that it's the next game that matters. But it's the next game of the competition.
"We can't run away with it. You don't talk about winning three months out.
"Obviously, there's some good teams in the competition. And as shown tonight, it's difficult to break these low blocks down.
"I think we can be better at it, and I think we've just got to show improvement leading into the next games."