Stuart Pearce's side suffered back-to-back defeats, with a 1-0 loss against Italy followed by a humbling 3-1 defeat against Norway, despite going nine games without conceding prior to the tournament.
And Henderson says the whole team did not perform to the best of their abilities, with bad defending and poor attacking play contributing to their premature exit.
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“I felt as though the first 20 minutes [against Norway] we were dominating the game, we had a lot of the ball, a couple of chances, but we conceded a bad goal at a bad time and it just deflated us a little bit.
“But I still felt we dominated possession of the ball, we just weren’t good enough in the final third.
“We’ve defended brilliantly over the last two years, throughout the whole campaign. Today, as a team, the whole team, not just the defence, the whole team didn’t defend as we have done.
“I still felt we pressed the ball high up the pitch and got it back early, but we’re just devastated.”
Despite already being eliminated, England still have to play hosts Israel in their final group game, and Henderson is eager to restore some pride after an otherwise disappointing campaign.
“It’s hard, you get knocked out of the tournament and you’ve still got a game left,” the 22-year-old added.
“But you’re still putting that England shirt on, you’re still representing your country, which is a massive honour.
“You’ve got to go out there and do it for your country.”