Liverpool lost the final to Spanish side Sevilla, who made a come-back from being 1-0 down at half-time to secure a 3-1 win to be crowned champions of Europe's second-tier competition.
Henderson had been named on the substitutes bench, but didn't feature during the 90 minutes due to being unfit.
However, the midfielder says he still recalls a speech by Klopp, who said this was only the start for this squad. Two years later, and they are back amongst Europe's elite - with Saturday's Champions League final with Real Madrid a chance to add a sixth European Cup to their illustrious history.
“We were obviously down but when we got back to the hotel the manager had something different to stay,” he said.
“He looked at the bigger picture and the future and he felt as though it could be a big moment in our careers to learn from the experience.
“He had this sort of vision that made me think in the future we’d get to another final.
“He wanted to use the experience of that final to keep us together and use it as a positive. If we got to another final we’d be ready.
“At that moment I sensed that he could see that he was confident about getting to another final.
“I can’t remember word-for-word but he had something about him that felt it was the start of something, something he felt he could take forward and definitely get the team to another final.
“I definitely remember that night. I think you can see how he has taken the team forward since then has been fantastic.”
The club appears to be reinvigorated since Klopp's arrival in 2015, with the perception of the team changing most this season.
“He is our leader and everyone looks up to him,” Henderson added.
“I have spoken about the manager having a massive impact since he’s come in, which he has.
“He has created a special dressing room with special players and I’m sure that will continue in the summer with new players coming in and helping this squad out to win trophies.
“I definitely feel we are going in the right direction. [I can] definitely see how hungry the team are to be successful.
“I hope there are a lot more opportunities in the next few years for us as a team because I feel as though we are good enough, have a world-class manager and we are going in the right direction.
“Getting over that first hurdle as a team, winning the Champions League would be a massive step.
“The belief you get from that going forward can really put us in a good position over the next couple of years for the Premier League, Champions League, FA Cup—more trophies we want to win.”
The 27-year-old had the audacious task of replacing Steven Gerrard as Anfield skipper, and on Saturday he could lead them to a European Cup. The former Sunderland man added he has been able to take inspiration from those around him.
“The manager is a massive influence and I’ve always had good people around me to learn from; friends and family at a young age,” he added.
“Kevin Ball was brilliant, Roy Keane, Steve Bruce (all at Sunderland)—all leaders and all had a massive influence on me.”