The goalkeeper has become a fan-favourite during his temporary spell at the Montgomery Waters Meadow, but departs on a disappointing note after the club failed in their attempt to gain promotion from League One.
Following the defeat, Henderson has shared his admiration for the club and wished them all the best next season.
"I’ve grown to love the club and I’ve become a supporter. I’ll be checking all the results next season and I pray to god they can do it next season." he told Shrewsbury Town's club website.
"It’s going to be tough but hopefully they can get some players in. they’ve got some fantastic lads here."
"I am a fan, I came here for the opportunity and I’ve left as one of the biggest Shrewsbury fans. Genuinely deep down I love this club to pieces."
"For me personally I love the fans to pieces. I genuinely want to say from the bottom of my heart thanks for everything and hopefully I’ll see you around some time soon."
Putting in a phenomenal performance at Wembley, saving an early Millers penalty, the 21-year-old admitted that the defeat was 'devastating'.
The result has put doubt over the future of a number of players, along with manager Paul Hurst - who's himself expressed his disappointment over the failure to find that fairytale ending for the superb season, something echoed by Henderson.
"I’m obviously devastated that we couldn’t have the fairytale ending. I thought it would be our day," he continued.
"I thought about it a lot in the coming weeks and I genuinely kept dreaming that it would be our day.
"I’m devastated for everyone; the supporters, the staff and everyone. I love this club so much and for it not to happen for us today is devastating and I can’t put it into words.
"To give the two goals away by set pieces and not being able to do anything about them hurts me but the lads did everything they could and the boys stuck together throughout.
"There are some great lads in there who genuinely really tried their best. We live to fight another day and I’m sure we will get there one day."