The Blades lost out in a seven-goal thriller to slip to a third successive league defeat but Henderson believes it is not all doom and gloom among Kevin Blackwell's injury-hit squad.
Henderson said: "In terms of getting on the ball and playing some good passing football I thought it was our best performance of the season but we didn't get the right result which makes things frustrating and disappointing."
The former Watford striker struck twice to take his goal haul to five for the season.
But he added: "Scoring goals is something a striker loves to do every game but the results are really what matters, especially at the moment when things aren't quite going for us.
"It's a very small consolation and although for me personally the two goals were nice, I'd have taken not scoring on Saturday if it had meant we had claimed all three points."