Gerrard, 34, has been at Liverpool for 25 years, but will leave on a free transfer when his contract expires.
"We've seen stuff in the newspapers on whether he will renew his contract but everyone thought it would be done," Henderson, 24, told Football Focus.
"But it was a big shock to see that he will be leaving. No one had a clue."
Play media
Steven Gerrard celebrates scoring for Liverpool
Midfielder Gerrard has scored 180 goals in 695 games for the Reds and helped them win the Champions League, the Uefa Cup, two FA Cups, three League Cups, one Community Shield and two Uefa Super Cups.

However, he has not started all of his side's matches this season, notably the vital Champions League tie away at Real Madrid in November.
Gerrard, who won 114 caps with England, says he will not sign for another Premier League side, but has been linked with a move to Major League Soccer in the US.

Henderson said Liverpool will miss Gerrard's strengths on and off the field:

"It will be difficult because he is such a leader of our group, such a figurehead, and has been for many years," added Henderson. "We just have to try and deal with it the best we can."

Former Reds striker John Aldridge, who scored 63 goals in 104 games for the club, says Liverpool will not be able to find a direct replacement.

"It's a day I have been dreading for a long time," Aldridge told BBC Sport. "He will be hanging up his boots for Liverpool. His boots are unfillable.

Bredan Rodgers also knows that Steven is irreplacible, when he was approached by the press she said;

“This is an era where 'legend' is vastly overused, but in his case it actually doesn't do him justice. As a leader and as a man, he is probably incomparable to anyone I have ever worked with.”

He was at this age when hejoined liverpool;

You’ll Never Walk Alone.