The Liverpool midfielder says that the club's own historic European comebacks act as a warning against complacency ahead of their home match against German side Hoffenheim.
The Reds earned a 2-1 away win in the first leg thanks to a stunning free-kick from Trent Alexander-Arnold and a James Milner strike.
However, Henderson says the result counts for little come kick off at Anfield, giving the his team's history as a reason why.
Henderson said on the club website: "When people talk about the great European nights at Anfield, one of the big themes is comebacks and that a two-legged tie is never over until it's over.
"That has worked to Liverpool's benefit so many times during the club's history, of course, but it also serves a reminder that for us, the job isn't even half done as regards achieving our goal of qualification for the group stages of the Champions League."
He also praised the win they achieved in Hoffenheim: "'To go to their home in Germany, where I believe they have an incredible record in recent years, and get a win was massive. It was a big step for us, but that's all it is, and it's a step that will count for nothing if we don't get over the line.
"As a dressing-room we know Hoffenheim are more dangerous than they were at their own ground last week.
"They have the same ambition as us; they want to be in the Champions League proper when it starts in September, but I think we showed in Germany how much progressing in this competition means to all of us."
Jurgen Klopp's side will still be without Barcelona target Philippe Coutinho, who has supposedly had a back problem and is now ill. Adam Lallana and Nathaniel Clyne are both long-term injury concerns.
Andrew Robertson is pushing for a start following his impressive debut against Crystal Palae, but Daniel Sturridge could be rested toi avoid aggravating a thigh problem.