The Liverpool captain was denied from 12 yards by David Ospina as the Three Lions and the South Americans contested a shootout after a 1-1 draw in their last-16 tie.
Henderson’s disappointment was short-lived, though, as Gareth Southgate’s side went on to prevail 4-3 on spot-kicks to set up a quarter-final showdown with Sweden.
And should penalties be required for England again at the tournament in Russia, the Reds midfielder will raise his hand without any qualms.
“I just went through the process that I normally do, that I’ve been working on,” he said of his effort on Tuesday night, which was saved to the goalkeeper’s left.
“Maybe it was a good height for the ‘keeper – if anything, it needed to be higher or lower – but in penalties you can miss or there can be a good save. Thankfully the lads dug me out.
“It wouldn’t put me off taking another but it might put Gareth off. I’d take another one but obviously it’s down to the manager. I would understand if he chose someone else.”
Jordan Pickford proved the hero for England by superbly punching away Carlos Bacca’s fifth penalty for Colombia, teeing up Eric Dier to clinch victory.
“You obviously fear the worst when you miss a penalty but Pickers did brilliantly with the save and they’ve hit the bar, so I’m just relieved we got over the line,” said Henderson.
“We’re a really close group. It’s difficult when you miss and nothing can be said that’s going to make it all right, but it’s not about me. We won in the end, that’s the main thing: a massive win, especially on penalties.
“I just thanked [Pickford]. I can’t thank him enough. I’m forever in his debt. He said the Mackems have to stick together.
“He deserves all the praise. He got a bit of criticism last week, undeservedly, so I am so happy for him to achieve that. He made some fantastic saves in the game.”