This weekend brings the opportunity for Henderson to lift his sixth trophy with the Reds, and his fifth since taking over from Steven Gerrard as captain.
His first-ever trophy with Liverpool was the League Cup, a decade ago, but since then the club has enjoyed a staggering transformation from hopefuls to title-winners.
Jurgen Klopp is looking to lead his side to a quadruple this season, as they are still in with a chance of winning the Premier League, Champions League and FA Cup, and Sunday brings an opportunity to pick up the first trophy.
“You always have pressure playing for Liverpool,” Henderson told reporters ahead of the final.
“Ever since I’ve arrived at the club, the expectancy is huge.
“You should be challenging for trophies year in, year out, and that’s the expectation at Liverpool Football Club, really. That doesn’t change.
“Yes, we’ve won one or two things over the past few years, but of course, you always want more, you always want the next one, you always want to improve as a team.
“I feel as though we have done that and we are doing that, but you’ve got to get over the line in finals and you’ve got to win big trophies, have big moments.
“Hopefully there’s another big moment for us on Sunday.”
“It will be another big moment for us as a team, to get over the line and win a trophy this season. And for the fans to be there, of course,” the captain added.
“We’ll make sure we give absolutely everything to be able to do that.
“We know it’s not going to be easy. As I said before, Chelsea are a fantastic side with world-class players, so it will be a really tough game.
“But we’ll give everything and hopefully at the end of the game we can celebrate with our fans.”