And while Fenty accepts that the 25-year-old Republic of Ireland international will move on, he is grateful for his contribution to the club.
"Wayne Henderson has already said he wants to play at a higher level," Fenty told Grimsby's official website. "He's come here to get some games under his belt and we probably wouldn't argue with the fact that he is a goalkeeper that could play in the Championship at the very minimum.
"At this moment in time, Wayne has committed his future to being in the Championship. It was always a short stay he was going to have at Blundell Park and I think he's helped us in the process.
"We've seen some wonderful, world class performances. You only have to look back to the Notts County game, where without his world class first-half performance, frankly, we would be going into the weekend fretting and worried again about our league status."