Despite winning seven FA Cups and the same number of League Cups, the Reds have not visited Wembley since 1996.
They made five domestic finals between 2001 and 2006, all of which were played at Cardiff's Millennium Stadium while Wembley was being rebuilt.
"Really? I didn’t know that," Henderson admitted to the Liverpool Echo when told of the club's Wembley drought.
"For such a big club like Liverpool, you would have thought we would have been to Wembley since then.
"I’m sure it won’t be long before we are at Wembley again. We’ve got a two-legged tie to come, and it won’t be easy, but if we put the right attitude and commitment into the game then I’m sure we can come away with good results."
Liverpool's quarter-final victory against Chelsea was their second win at Stamford Bridge in less than 10 days and also followed a credible home draw against Manchester City at the weekend.
"We went there with a game plan, we stuck to it and it worked in the end," he said. "It has been a brilliant test of character to go there and win both times.
"We were equally as good on Tuesday – the lads were brilliant again. We worked hard from the first minute, every one of us. We worked together as a team and it paid off.
"We kept our heads after missing the penalty, kept going forward and managed to score the two goals."
The 21-year old was also encouraged by the depth of the Liverpool squad with several less regular members of the side impressing in the victory.
"There were changes against Chelsea but I don’t think it was a weaker team," he said.
"The players deserved to be out there and they took their chance so it will be interesting to see in the next game what squad the manager will pick."
Henderson played the full 90 minutes in both the City clash and Tuesday night's League Cup win as he takes on an increasingly prominent role in the side.
"I might have felt a bit tired in the last five minutes but I was fine," he added.
"I took a knock and I twisted my ankle a little bit when I got caught by the tackle. It swelled up a little bit after the game but it’s only a kick. With a couple of days rest I’m pretty sure it will be better."
Able to play on the right wing or in the centre of midfield, Kenny Dalglish has been keen to make use of Henderson's versatility and the former Sunderland man insisted he was happy to take up any role.
"I’ve played a lot in central midfield and people might say that’s my best position, but I’ve been playing in numerous positions since I’ve been at Liverpool and it’s a different ball game when you come to a club like this," he said.
"At the minute I just have to keep playing well. If I keep working hard then I can be in the team, and I’m happy to be playing anywhere for Liverpool.
"You have to fight for your place every week.
"I’m lucky enough to be in the team at the moment and I just have to keep on doing my best wherever I am put.
"I still have a lot to prove in terms of goalscoring but I’m sure I can still do it. If I keep practising in training then I’m sure it’ll pay off."
Henderson also emphasised the importance of competition for places at a club with ambitions comparable to Liverpool's.
He continued: "It is difficult when you aren’t in the team, but that’s part and parcel of football – it does hurt you when you are on the bench.
"But it’s a team game, and you have to be there for the lads who aren’t playing. You’ll get your chance if you impress during training, and you have to then take it.
"Standards are high at a club like Liverpool, but I set my standards very high and I’m sure everybody else at the club does."