Henderson helped earn Palace's 12th clean sheet of the season in a goalless draw with a stubborn Hammers side, making a number of notable stops.
But the Eagles had the better chances, with Brennan Johnson twice going very close in the first-half. Substitute Ismaïla Sarr then had the ball in the net late on, only for the referee to rule it out for a handball by Jean-Philippe Mateta in the build-up.
Henderson admitted it was a frustrating result in his post-match assessment, but still believes his team in are in a good position to push on in the league.
"We're disappointed," he told Sky Sports. "I think the lads gave it everything they could. Obviously we had a few tired legs out there.
"But we did manage to push on towards the end and try and get the winner, unfortunately we just couldn't do that today.
"We take the clean sheet, we move on and then we'll get ready for some important games coming up.
