Ulster had won all four pool games this season and beaten Toulouse by six points in France last weekend - but that wasn’t enough for Henderson and his team-mates to progress to the quarter-finals as the Top 14 champions left Kingspan Stadium with a seven-point victory to win the tie 50-49 on aggregate.
“When we look at the loss for us it is with incredible frustration,” said Henderson, “Rather than previous years where we have looked at it and went “we were well-beaten out there” or “they were able to run away with it”.
“It felt out there that we were in relative control, two red cards and a few yellows over both games certainly changes a few bits and pieces.
“However, we have to rally round each other and make sure everyone is supporting each other and make sure we are physically and emotionally ready to go for Munster.”
The two-time British Lion tourist felt Ulster’s defence hadn’t been good enough over the two legs against Toulouse.
“We talk about cutting out those breakaway tries, if we cut one of those out over those 160 minutes it is a different story,” he said.
“But we know Toulouse have striking power from anywhere on the pitch and they used that.
“It is frustrating for us, we tried to concentrate on building pressure and not let them get those easy tries...but they managed to get a few of them.”
Replacement prop Tom O’Toole’s red card on 65 minutes proved to be crucial as Toulouse made their numerical advantage count with a converted try five minutes from full-time to seal the tie.
“Tom will be devastated...Tom is the type of character that will really affect him and he will be down about that,” said Henderson. “But it’s everyone else who will feel that they maybe made an impact to that loss.
“I have full confidence that everyone will get around Tom or be it anybody else in the squad that is feeling down in the next week.
“Duane (Vermeulen) had a good chat with us after the game and said some guys will get over it in 15 minutes, some guys will get over it in a week and some guys it will be longer.
“There is no right or wrong way to get over any of that.”
Ulster haven’t much time to feel sorry for themselves as they face a crucial Irish derby in the United Rugby Championship at home on Friday night.
Ulster are second level on points with third-place Glasgow and three points ahead of Munster as the race to secure home advantage for the play-offs hots up.
“It is difficult to throw yourself straight back into it,” said Henderson. “But it will be a focus of ours with a huge emphasis on the next two games.
“The next two games are going to be instrumental in defining how we finish the season, so we have to make sure we can show ourselves, the staff and everyone else that we are able to bounce back and put in a good performance on the back of an emotional loss.
“So that is definitely going to be a big focus for us this week.”