Two goals from corners cost Jurgen Klopp at Vicarage Road as the hosts scored an injury-time equaliser to earn a share of the spoils.
The Reds appeared set to come away with a victory after scoring twice within two minutes after the break only for Miguel Britos to equalise.
Speaking to Sky Sports after the dramatic draw, Henderson said: ‘We’re disappointed with the result having led for so long.
‘To concede is disappointing and that needs to change quickly if we’re going to do something this season.
‘At times we were positive but as a team we need to see it out better. You need to take the positives but again we talk about set-pieces, we need to do better.
‘We’ve worked hard on them in pre-season and it’s only us who can change it.’
Despite the late setback, Mohamed Salah made a bright start to his Liverpool career and Henderdon labelled the Egyptian’s performance as ‘brilliant’.
‘He was brilliant and he’s been just like that since he came in,’ the England midfielder said.
‘He’s been scoring goals, linking up with the other attackers and doing his defensive duties.’
Salah, 25, added: ‘Honestly I was very happy until the last minute of the game. But it’s only our first game and we need to look forward, we need to win our next game.’