Beaten 2-1 by Fiorentina on Thursday night, Palace reach the final four 4-2 on aggregate.
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"It's a great moment for them," Henderson said of the Palace support to TNT Sports. "100%. They've stuck by us in the difficult times this season and hopefully we can go on and deliver something really special.
"I think it was a tough game tonight, it was very tough. You don't really know how it'll go. 3-0 can be a dangerous scoreline and we've managed to get through, so who cares.
"Of course the aim is to go and win it, that's what the aim is. We have togetherness in this group.
"So at the business end of the season, we come together and we go forward."