Manchester United were blown away by their bitter rivals’ in-your-face game on Thursday.
Klopp’s men won 2-0 in the first leg of their Europa League last 16 clash, ending a run of four successive defeats against United.
“It was such a big game and to play the way we did it was very pleasing,” Anfield skipper Henderson said.
“When we play that kind of high intensity football and win the ball back like that there aren’t many teams who can live with us.
“We need to build on that and keep trying to improve. We all want to finish the season off well.
“That will put us in good stead for next season.”