The Eagles were the better side for the first 45 minutes at Selhurst Park, spurning several good opportunities before falling behind to a breakaway goal by Estêvão.
Chelsea then took the game beyond Palace – who were reduced to 10 men when Adam Wharton picked up two yellow cards – but the Eagles finished the game showing plenty of fight, and did pull a goal back through Chris Richards late on.
Henderson, wearing the captain’s armband, told Premier League Productions: “I thought we were the better team in the first-half. I thought we put them under pressure and we had some opportunities early on in the game which if we had taken, the game could be totally different.
“I thought we were the better team for the first 20 minutes of the game. We put them under a lot of pressure and created some good chances. We didn't quite put them away and then we got punished at the back half of the half, which can happen in football.
“They're the moments we talk about through the week. Obviously, going down to 10 men makes it really difficult to get back into the game, of course.
“We can't concede the second goal straight after half-time, that just can't happen. It gives them the belief then to start pressuring you more. I think the character the lads showed to the final whistle, if we could have maybe just nicked another goal or we don't concede the third, I think it gives us a chance in the game.
“There are positive signs. We’ve got players coming back in now and I think the energy this week was really, really good. Coming into this game, we expected more and obviously at this moment in time, football’s cruel sometimes. They make mistakes, we didn’t punish them. We made our mistakes and, ultimately, we got punished.”