Speaking to the media ahead of Tuesday's game, Henderson described the clash with Niko Kovac's side as "the biggest of the season" and has revealed that a similar mindset will be adopted to every game from now on.
"If we had to choose, we'd choose both," he replied when asked which competition he would rather win.
"We prioritise game by game, no matter what competition it is, so Tuesday night for us is the biggest game of the season. And then so on and so on.
"It'll be like that until the end of the season, that's how we approach every game.
"That's what we need to do, it's not about favouring one competition.
"I feel we have a good enough squad to be able to challenge in both competitions as best we can, and hopefully at the end of the season we see we're champions of at least one, if not both."
Liverpool have been tipped by many as the favourites to progress to the quarter-finals, with Bayern struggling for consistency under Kovac this season.
Henderson, though, thinks Bayern's world-class players will be far from a pushover at Anfield.
"It'll be very tough," the England midfielder added.
"They're only two points off Dortmund in the domestic league and have been consistent finalists and semi-finalists [in the Champions League].
"They've got world-class players so we know how difficult it will be but having said that we feel confident in the group that we can go and hurt them.
"It's up to us to show that tomorrow night.
"The amount of big games we played last year can only help us."