Madrid are bidding to lift the trophy for the 13th time and a third season in a row - a feat which has not been achieved in the Champions League era and was last managed by Bayern Munich in 1976.
However, Liverpool have scored more goals than any other team in Europe this season and have a rich history in the competition themselves, having lifted the trophy on five previous occasions.
"We'll be the underdogs. But I know that if we can perform to the level we have been performing, then we can give them a right good game," Henderson told the Daily Mail.
"We can take inspiration from what the legends of this club have achieved but this is about our history."