Palace secured a first point on the road against Brighton, whilst also shutting out the opposition for the first time this campaign, home or away.
"It was massively important for us, hopefully we can keep getting some clean sheets," Hennessey said after the game. "We were unlucky not to get the three points, but we'll take a point.
"If you look at both teams it was probably a fair result. They had good chances, we had good chances, so overall it was fair."
Either side could have taken the lead, with the likes of Wilfried Zaha and Lewis Dunk both having chances to score. However, good goalkeeping from Hennessey and his opposite number Mathew Ryan, as well as some near misses, kept the game scoreless.
"It's been nice to get back in the side, so hopefully I can keep more clean sheets and stay in the team," said the Welshman, having regained his place for the win over Stoke City at the weekend.
"I've been working a lot recently. I had an injury to my ankle and that's improved now. We're such a tight unit here, goalkeeping-wise, and we always wish whoever's playing well. I've just been working hard in training and it's paid off."