With the likes of Mohamed Salah, Robert Lewandowski, Roberto Firmino and Sadio Mane present, goals were expected to be plentiful in the opening leg.
In fact, Bayern manager Niko Kovac said prior to the contest he could not “imagine” the game finishing 0-0.
However, the two defences proved supreme as each kept their high-flying opposition off the board, with Liverpool able to hold Lewandowski scoreless thanks in part to a strong performance by Fabinho, filling in at centre-back for the suspended Virgil van Dijk.
The second leg is set for three weeks time and Henderson remains confident his side can "hurt" Bayern enough to come away with a result in Germany.
“It's still alive. We've got games before the second leg,” Henderson told BT Sport. “We've got to be confident still. It'll be difficult but we have experience in the Champions League.
“We can go there and hurt them."
Sadio Mane was among those that were unable to make the most of their opportunities in the scoreless draw for Liverpool.
However, that result is arguably balanced by the side's overall performance despite multiple fitness questions coming into the contest against the Bundesliga champions, in addition to the suspension of Van Dijk.
Roberto Firmino played despite illness, but Dejan Lovren was unable to feature due to injury and, with Joe Gomez also sidelined, Fabinho was drafted into duty in the heart of defence.
And while coming away without a victory at home is a result that Henderson admits leaves Liverpool a bit disappointed, the Reds' captain was pleased with his side’s performance overall against tough and sometimes frustrating opposition.
"We're disappointed not to score,” Henderson added. “But we kept a clean sheet and defended well. We had enough chances, especially in the first half.
"It's not the worst result in the world. The performance level was good but we lacked that bit in the final third.
"They're a good team, they're going to keep the ball. At times we found it frustrating. We were a bit unlucky in front of goal.”
Liverpool are next in action Sunday, having to travel to Old Trafford to square off against rivals Manchester United in the Premier League.