The captain returned to the side after four games out on Wednesday night, as Liverpool sought to turn around a first-leg defeat to reach the quarter-finals.
But an error-strewn display from Adrian prompted an Atletico comeback, and a Marcos Llorente brace, followed by another from Alvaro Morata, knocked the European champions out.
“I’m really disappointed. The performance overall was very good. Intensity, everything we spoke about before the game,” Henderson told BT Sport after the game.
“We put everything into the game and are disappointed with the goals we’ve conceded.
“But if we look at the performance, for the large part of the game, we’re just disappointed with the goals we’ve conceded.”
Henderson was right not to single out any player for criticism, but alluded to defensive mistakes as Liverpool let their focus slip.
“We’ve experienced it over the last few years, you need to be fully focused at all times. Any mistake or lapse in concentration can cost you,” he said.
“We’re really disappointed with the result overall, the performance deserved to go through.
“The performance level is all you can focus on in the game, overall we’re really disappointed with the position we were in and to concede the goals we did.”
Contrasting with Adrian‘s performance, Jan Oblak was a hero for Atletico throughout, and deserved praise after the game, though Henderson highlighted Liverpool’s dominance.
“He made some great saves, but we created so many chances to score and obviously just couldn’t find the third to kill the game off,” he continued.
“The lads gave everything, left everything on the field and unfortunately we couldn’t get the result we wanted.
“That’s the way they play. Hard to play against, defend really well.
“But to be honest, we still created a lot of chances, it wasn’t as if they defended so well we didn’t create much.”
Liverpool have plenty of time to reflect, with their next outing not until Monday night, away to Everton in the Premier League, which Henderson clearly believes is the right fixture to show a response.
“We’ve got to be really disappointed with the result and we will be. Tonight, tomorrow, it won’t feel nice,” Henderson added.
“But we’ve got to use it, react in the right way and finish off the season well.
“We’ve got the derby next, which is a big game for us, so that’s what the focus has got to turn to quickly.
“We’ve just got to take it game by game to the end of the season, but we want to finish strongly.”