The 20-year-old Wearsider has made an excellent start to the new season, continuing from where he left off last term.
Now midfield ace Henderson, as well as being tipped for an England call-up, is also said to be interesting the likes of Chelsea and Manchester City.
But Bruce is not letting himself, or Henderson, get too carried away.
"I give him a bit of stick, and say to him 'who is it? Chelsea this week, Inter Milan next week? Real Madrid?' I always just make light of it," Bruce revealed.
"It is inevitable that there will be stories linking him with all sorts of clubs.
"You know that when the big boys come, you are up against it, and we have to be realistic about that. We will have to deal with that if and when the time is right.
"But it is normal when a player has burst on to the scene, as he has, then all the top teams in the country are going to be looking at him and obviously want him because he is young and, more importantly, he is English.
"It is fantastic he's getting all these accolades at the moment. But it's very important to make sure we keep him on track, and that he fulfils all that potential, because he has only played 40 games."