A clearly emotional Henderson was close to tears as he spoke in the bowels of the NSC Oliympiysky Stadium following the 3-1 loss to Real Madrid.
Having been forced to watch the Europa League final defeat to Sevilla two years ago from the bench as he was not fully fit, this one was even more difficult to take.
But the 27-year-old hopes a successful run in Russia this summer will ease the pain.
“Obviously (I’m) devastated. It is the worst feeling I have had in football,” he said.
“It will hurt for a while but you have to move on in football. The World Cup is coming up. Things move quickly. You have to focus on going forward.
“Some of us have time off to go and get away and take their minds off it, and others have got the World Cup.
“I want to get back to business as soon as possible. We are devastated for the fans.
“Overall we have to be proud of the achievement getting here. We have done brilliantly.”
Defeat was the third in a final during Jurgen Klopp’s three seasons at Liverpool and the German manager’s sixth in succession in showpiece events.
However, despite that record Henderson is convinced he can eventually lift a long-awaited trophy for the club under this manager’s guidance, with Klopp having a contract until 2022.
“I believe in this team. I believe in this manager. I believe we are going in the right direction,” he added.
“It is so difficult to stand here now and say that but that is the truth. It is how I feel. We have to make it happen.
“I believe we will be back (in the Champions League final). I believe we will be challenging in all competitions domestically.
“The Premier League is important to us and we are qualified for the Champions League next year so we need to do it sooner rather than later.
“If we do that, we will be more experienced.
“It’s a fine line, isn’t it? It is hard for me talking now, saying we must learn from the experience but that is what we have to do over the next days and weeks.
“We have a young, fantastic group of players, who deserve more. We did fantastically well to get here and now we need to keep growing as a team to be successful in the future.
“Only good teams get to the Champions League final so we have to make sure this is not the last final, that we are in more finals and win trophies.
“We have good players here and we will strengthen. There are more coming in. It is hard to be positive but come pre-season we will be ready to fight again.”
We gave it everything but it wasn’t enough and I’m sorry to our supporters we didn’t bring it home. As a team we share failure as well as success… we all feel responsible for last night. We win together, lose together and we will always stick together. I’m proud of all the players and staff for the journey we made this season and I know we will be stronger for it next. The Liverpool supporters are Europe’s best even if this season the team wasn’t. You’ll Never Walk Alone
The 24-year-old was in tears at the final whistle in Kiev after the Reds’ 3-1 defeat to Real Madrid.
The Spanish side’s first goal came when Karim Benzema charged down an attempted throw-out by Karius, and the goalkeeper then allowed a long-range Gareth Bale shot to slip through his grasp for the third.
“I lost my team the game,” he told talkSPORT.
“I’m sorry for everyone – from the team, from the whole club – that the mistakes cost dearly.
“If I could go back in time, I would. I feel sorry for my team. I know I let them down.
“It’s very hard right now but that’s the life of a goalkeeper. These goals cost us the title, basically.”
Former Reds goalkeeper Ray Clemence said Karius would have to live with his mistakes “for the rest of his life”.
Clemence, who was in goal for Liverpool’s first three European Cup wins including the 1-0 victory over Real in 1981, told BBC Radio Five Live’s Sportsweek programme: “He’s made two horrendous errors at vital times in the game and he has to live with that.
“He’s got the whole summer to think about it and when you make mistakes in massive games like that they will be with you for the rest of your life, because people will remember them and keep reminding you of them.”
The match was goalless but Jurgen Klopp‘s side were in the ascendency until midway through the first half when they lost their 44-goal forward with a shoulder injury after falling in a tangle with Sergio Ramos.
Liverpool’s players struggled to adjust and Real took advantage, eventually running out 3-1 winners partly thanks to two errors by goalkeeper Loris Karius and a stunning overhead kick by Gareth Bale.
“I think it was a big blow for us, it seemed like a big blow for us the way we reacted after his injury,” said Wijnaldum.
“I think when he was on the pitch we did well for 25 minutes but (after the injury) there was less than before.
“Those things happen and we had to deal with it but it was difficult.”
Asked what Klopp said at half-time, the Holland international added: “He said that it looked like we were devastated about Mo but we had to let it go and change because it could not change.
“Sometimes those things happen in football. It is hugely frustrating but we can’t change it.”