The final whistle in Rome was met by scenes of jubilant celebrations between Klopp, his staff, the players, and the supporters in the away end.
"Liverpool fans are a big part of this football club, as we all know," Henderson said, reflecting on the celebrations.
"There's a great togetherness throughout the club and the fans play a big part in that.
"They came in their thousands, were outstanding again for us, and they make a big difference to us.
"I'm sure a lot of them will be going to Kiev and trying to make an atmosphere as close to Anfield as possible for the final."
The skipper expressed how proud he was of his teammates and the hard work it has taken along Liverpool's journey to the Champions League final.
"I'm obviously so proud of the players, how hard they've worked all season to get to this point," he added.
"I just hope that we can go to the final and play like I know we can, because we didn't do that [against Roma].
"We've just got to play with no fear, go and enjoy it, and I feel as though if we do that then we can hurt any team.
"And hopefully this isn't the last final that we get to."
The Reds will face holders Real Madrid in Kiev and Henderson insisted his teammates have the quality to hurt Zinedine Zidane's side.
He said: "We've just got to go there and try and finish the job off against a tough [Real] Madrid team, a fantastic team that have won a lot of trophies.
"They've got good know-how, they know how to win, so it'll be really tough.
"But I feel as a team we can definitely hurt them, we've just got to perform to the best of our abilities."