A 3-2 shoot-out defeat by Italy at Wembley saw the Three Lions lose their first major final in 55 years.
The loss means England are still without major silverware since lifting the World Cup in 1966.
But now Henderson, who came off the bench before being replaced late on ahead of the penalties, believes Gareth Southgate’s side have to build on their performance this summer to peak in Qatar next year.
“Of course you need to learn from the experience,” he said.
“I know it’s disappointing now but we will go away and have a little break, it will eat at you a little bit and you have to use it as fuel to want more, to achieve more and keep pushing each other.
“What we have created this tournament is something really special and hopefully we can bounce back from this.
“I’m sure we will we have Qatar coming up in 16 months, we are in good shape, what we have created is really special.
“I’m really proud of the lads and I’m looking forward to what we can do going forward.”
Henderson played a bit-part during the tournament having only returned to fitness following groin surgery in February.
He felt the team deserved more but paid tribute to Italy, whose goalkeeper Gianluigi Donnarumma was named player of the tournament after saving another two penalties in the shoot-out.
“Devastated really,” he told beIN Sports when asked how to sum up the night. “Devastated for the lads. To think what they have put in, they gave absolutely everything and deserve more.
“For the fans, for the country really, everyone was behind us and we left everything on the field, we gave absolutely everything to try to win and unfortunately we couldn’t do it.
“When it goes to penalties it is a bit of a lottery and anything can happen but fair play to Italy, they are a good side and congratulations to them but at the minute I’m devastated for everyone really.
“We always practice penalties especially in tournaments. Unfortunately that can happen on the night, he [Donnarumma] is a very good goalkeeper, he is very big and it is difficult.
“So the lads showed courage in taking the penalties and will learn from the experience of course.”