"That's football, you're going to come up against that and you've got to manage the game," Henderson told BT Sport.
"I thought we defended well for the majority of the game and created chances – but we've just got to finish teams off and be more ruthless," he added.
With two draws from two Champions League games, Liverpool are two points behind Group E leaders Sevilla and Henderson said he was disappointed the team's dominance did not result in a comfortable win on the night.
"We controlled the game from start to finish, so should win the game comfortably. We're disappointed. The chances we had, we’ve got to win the game comfortably there.
"On another day, it could have been three or four. Overall, the performance was decent but not enough to win the game," he added.
Fifth in the Premier League, Liverpool are at Newcastle United on Sunday.
(Reporting by Shrivathsa Sridhar in Bengaluru; Editing by Peter Rutherford)
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