The Reds ran out 5-2 winners against Roma in the first leg of their Champions League semi-final at Anfield on Tuesday.
PFA Player of the Year Mohamed Salah scored twice and laid on a further two assists as Sadio Mane scored, while Roberto Firmino also bagged a brace.
Liverpool led 5-0 with 10 minutes to go but went on to concede twice, with Edin Dzeko and Diego Perotti providing hope for the Italians.
Henderson is confident that Liverpool can complete the job when they clash again next week, although he admits it will prove tough after Roma came from three goals behind to knockout Barcelona in the previous round.
"I think we'll obviously be disappointed with the two goals because it felt as though we were in full control and we basically gave them two goals, [which] you can't really do at Champions League [level]," Henderson told BT Sport.
"But at the same time we've played well, we've won the game and we'll go there with a three-goal advantage.
"It'll be difficult because as you've seen in the last round, they came back against Barcelona, who are one of the best teams in the world, and they managed to knock them out so it'll be a really tough challenge for us, but we've got to be confident after the performance. We've got to go there and put a solid display on and hopefully get us to the final.
"I fancy us to go there and score as well, with the forward players we've got. It'll be a challenge, but one we've got to look forward to and hopefully we can finish the job off."