The Eagles booked a place in a major European final after a 2-1 win on Thursday evening, which secured a 5-2 victory on aggregate over the Ukrainian side.
Palace were 4-2 up on aggregate at half-time before a crucial save from Henderson not long after the break. Moments after the skipper had played a vital part in preserving the lead, Ismaïla Sarr got the goal that sealed the tie.
From that point on, Selhurst Park was in party mode.
Reacting only moments after the celebrations had started, Henderson was immediately thinking about finishing the job and claiming another major trophy later this month.
"It's incredible for the football club," he told TNT Sports. "You see the connection between the players and the supporters, it's fantastic. It's unbelievable.
"The manager came in, made this team believe we can win any game. It's been a difficult season obviously with the amount of games we've played - but we've delivered another final, which is fantastic.