Jurgen Klopp's side were unable to break Everton down as Sunday's Merseyside derby finished goalless - the Reds' fourth draw in their last six league matches.
It means defending champions City are now a point ahead with nine games to play in a title race that promises to go to the wire.
Another blank in front of goal led to accusations in some quarters that Liverpool are starting to buckle under the pressure being applied by Pep Guardiola's men.
Captain Henderson disputes that notion and feels his team-mates can only answer their critics on the field.
"It's no good talking about it, we have to respond on the pitch. We have a lot of games left to do that so it is down to us," Henderson said.
"Football is a lot to do with mentality. Obviously, talent is important, and we've got that in abundance, but what we need to show most in the next nine games – and in the Champions League – is our mentality.
"We can achieve what we want to achieve. It is down to us on the pitch to show that."
Henderson put Liverpool's struggles in recent weeks down to the inability to score, with the clash against the Toffees being their third 0-0 in their last four fixtures.
Star striker Mohamed Salah hasn't found the net in his last four appearances, while fellow attacker Roberto Firmino hasn't scored since the club's game against Crystal Palace on January 19.
However, the England international is adamant their overall team performances have been solid and all they need is the finishing touch to ensure they start turning draws into wins.
"What was missing against Everton? Scoring," Henderson added. "We created enough to win the game, and if we'd scored one or two goals it would have been perfect.
"Everyone would have said, 'It's a good away performance in a derby'. But when you don't score, people start analysing differently."
Liverpool's next fixture is against Burnley on Sunday as they look to return to winning ways in the Premier League.