The Eagles took the lead inside four minutes at Selhurst Park when Daniel Munoz drove his right-footed shot past Stefan Ortega before Erling Haaland found a leveller in the 30th minute.
Palace restored their advantage in the second half when Maxence Lacroix netted his first goal in red and blue. However, it was not to be for the Eagles, with Rico Lewis rescuing a point for the visitors.
Looking back on Palace’s seventh draw of the season, Henderson acknowledged that his side could have beaten Manchester City, but fatigue set in.
"Yeah, of course. You never know what to expect. Obviously, you expect a really tough game and them to come out after us and create loads of chances.
"To be fair, we dealt with it well. We rode the storm and caught them on the break for the first goal. It's disappointing because we felt the game was there for us.
"We created a lot of chances but just didn't quite get enough on goal today, and unfortunately, that's why we've come out with a draw.
"Before the game, if someone offers you a point, you're over the moon with it. So, you take the rough with the smooth. It's been a really good week, a three-game week as well.
"So today, it was tired legs out there, and you could see that at the end, when they went down to ten, we didn't quite have the energy to kick on.
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Since Joachim Andersen left for Fulham in the summer transfer window, the South Londoners have created new partnerships at the back.
The centre of defence has become the most consistent part of the Palace team, with England international Marc Guehi, Chelsea loanee Trevoh Chalobah and summer signing Lacroix as the established back three.
Despite sitting 17th in the Premier League, Palace have conceded just 20 times this season - only six teams have shipped fewer goals.
Although Palace have been firm in defence, they have struggled to take advantage of corners in recent years. On Saturday, they scored from a corner for just the second time this season when Lacroix dispatched the Eagles' second goal of the game.
Alongside Lacroix's excellent header, wing-back Munoz put away his second goal in as many home games on Saturday.
Speaking on the players directly in front of him, Henderson gave plaudits to the Palace defenders, sharing that the backline have been superb defensively while working on adding goals to their game.
"The boys have been phenomenal - especially the backline. For them to get goals and score from a set piece as well, it’s something we've been working on a lot.
"Hopefully, we can continue doing that and adding to the set pieces. Whoever gets the goals, it doesn't matter. It's important that we pick up points at this stage."