Jurgen Klopp's side face the German champions at Anfield in the first leg of their last-16 tie in Europe's elite club competition on Tuesday night.
Bayern only dropped four points on their route through Group E, winning four and drawing two games, and have been crowned European champions five times with their last title coming in 2012-13.
Writing in Liverpool's official matchday programme, Henderson admitted: "They’re a squad packed with experience and top-class quality, a club for whom we have the utmost respect.
"We know how tough a challenge they will pose us over the course of these two legs. But I think that we made a statement in the last campaign about what the European Cup means to us and how we don’t bend the knee to anyone else in it."
The Reds made it through to their first Champions League final since 2007 last year although they ultimately finished runners-up to Real Madrid.
This term they just managed to make it through the group stages with a 1-0 win over Napoli in their final match and look set to compete in a tight battle for the Premier League title, with Henderson saying on Monday that Liverpool are aiming for a domestic and European double.
"We go into every round with only one outcome in our minds and that’s us getting through. People talk about us being ‘the surprise package’ last season, because when we started with the qualifiers most people wouldn’t have predicted we’d go all the way to the final," he stated.
"But in our dressing room we don’t put any cap on our own expectations. This season there has been external discussion about whether we should prioritise certain comps over others. Whether there is more pressure to deliver in certain comps over others. Again, one place that discussion has not happened is at Melwood. There’s no need to prioritise so we don’t.
"We need to have the attitude in each and every game that the priority is to win. It’s that simple: just go out there and give everything you have to win. If you start thinking ‘we’d sooner win this, or that’ then you’ll end up failing. If you give yourself an excuse you’ll end up with nothing. We look for and take no excuses. Ever.
"Personally speaking, I like the pressure of thinking we have to deliver each and every time we take to the pitch on a matchday. There are no free swings when you play for Liverpool and nor should there be. No-one here wants to be the underdog or the outsider – all of our team want expectation always because it means you’re performing at the highest level."