Henderson sustained a hamstring issue during last week’s Champions League tie with Atletico Madrid and Milner missed Monday’s win over West Ham United due to a slight muscle strain.
Shaqiri, meanwhile, has been sidelined since mid-January due to a calf complaint.
Speaking during his pre-Watford press conference on Friday morning, Klopp told reporters: “[They are] all coming closer, much closer.
“Hendo is running, Millie is running and even more. It was not enough for this game now, but we will see – especially with Millie – what we can do for Tuesday.
“I’m not sure about Hendo, and Shaq not yet, but they are all coming closer.”