The Reds suffered a 3-1 defeat to Sevilla in Klopp's first season at the helm, but the German looks to have used the experience to spur his side on.
Having guided the club back to Europe's elite competition with a fourth-placed Premier League finish in 2016-17, Klopp will lead his side out against holders Real Madrid in Saturday's Champions League final.
And captain Henderson believes he saw this weekend's Kiev showdown coming after a post-match rallying call from the former Borussia Dortmund boss.
"He had this sort of vision that made me think we would get to another final," said World Cup-bound England international Henderson, an unused sub in the reverse to Sevilla.
"He looked at the bigger picture and the future, and he felt it could be a big moment in our careers to learn from the experience.
"He wanted to use the experience of that final to keep us together and use it as a positive. If we got to another final we would be ready.
"At that moment I sensed that he could see that he was confident about getting to another final.
"I definitely remember that night. I think you can see how he has taken the team forward since then has been fantastic.
"He has created a special dressing room with special players."