The Three Lions were edged out 3-2 in the Wembley shootout after the 120 minutes of action ended 1-1.
England took the lead after two minutes through Luke Shaw but were pegged back by Leonardo Bonucci’s close-range finish midway through the second half.
Henderson was introduced to the showpiece with 74 minutes on the clock and was then withdrawn towards the end of extra-time for Marcus Rashford, who took a spot-kick for Gareth Southgate’s side.
The Liverpool captain made five appearances in the tournament, scoring his first goal for his country in the quarter-finals against Ukraine.