Speaking to BBC Sport’s Football Focus, the England international midfielder explained that none of the players at the team were expecting the bombshell.
“No one had a clue,” he said. “We’d seen stuff in the papers about when he was going to renew his contract — everyone thought it would get done eventually.
“But they’ve come to an agreement and Stevie’s decided it’s time for something different.
“It will be difficult to get used to life without Gerrard because he’s such a leader of our group and has been a figurehead for so many years.
“We’ve just got to deal with it as best we can.”
The full interview with Henderson will be broadcast on Football Focus on BBC One at 12:10pm on Saturday, 3 January.