Henderson got the nod ahead of regular number one Jamie Ashdown but could not prevent Pompey slipping to a narrow 1-0 defeat at Elland Road.
"It's obviously great to start but for me playing comes second," the 23-year-old told the club's official website.
"I'm just so upset about the result. So many fans came up to support us and we wanted to send them back with something, but it wasn't to be.
"Jamie has done well and I've just been working really hard in training. I got the nod on Saturday morning and I was ready for it.
"I said when I signed that I was coming here to play and that hasn't changed. The relationship with Jamie is really good. If he plays then I wish him the best and I'm sure he does the same for me."