"It's incredible," Henderson told LFC TV.
"We weren't quite sure what to expect when we got on the bus. It was disappointing last night.
"But the lads have given everything. The least we can do is say thank you to the fans for what they have given to us this season. It means a lot to the lads.
"We weren't sure what it would be like. We were all a bit flat. But this is what it is all about. This is why you do it and who you do it for."
Saturday's disappointment had been exacerbated by the shocking scenes when fans were tear-gassed by police amid huge delays accessing the Stade de France, where a 36-minute delay to kick-off was not enough to prevent thousands of them missing it.
Supporters then woke to fresh stories linking Sadio Mane with a move away this summer, yet optimism is the default position under Klopp and it was fully restored by the time to buses reached Liverpool's famous waterfront.
The Three Graces were swallowed up by a thick red fog, the players all but disappearing from the view of the thousands gathered as on-board DJ Calvin Harris provided the party music and fireworks exploded in the sky.
"To be honest I woke up this morning in a terrible mood," left-back Andy Robertson said.
"Everyone did. We were disappointed. Obviously dreading the parade a bit. Then when you get on this bus you realise the best fans in the world come out.
"It has lifted the spirits for all of us. It will give us a nice ending to a really tough season.
"You want to win the big final. When you don't you worry about how you will be received, what will go on, who will show up. My goodness, what a turnout. They have given us something to be happy about. To represent them, for all of us is the biggest honour."
