Holders Liverpool crashed out in the last 16 after Atletico scored three goals in extra time for a shock 3-2 victory at Anfield that sent them through 4-2 on aggregate.
Liverpool need just two more wins to seal the title.
“Obviously we’re really disappointed… we put everything into the game,” Henderson.
“We’ve got the derby next which is a big game for us. That’s what the focus has got to turn to very quickly… and we’ll just keep taking it game by game until the end of the season.
“We want to finish it strongly.”