The 19-year-old was slightly disappointed that Rovers didn't come away from Ewood Park with a victory over the Premier League side. A match where the home side created more than their fair share of chances.
Henley believes Rovers showed just what they are capable of in Saturday's draw and now they must repeat that in the Championship matches coming up.
Speaking to Radio Rovers, Henley said: "I never thought I'd be saying it but we are actually disappointed in there. We really think we could have come away with a lot more.
"It is disappointing but it was a fantastic performance from the lads, it just shows what we are starting to put together now.
"Hopefully if we can take a performance like that into the league games, we can do produce something special.
"I think we can take a lot of confidence from the game, we can take this and try and reproduce it in our league games.
"We should all be confident in ourselves after playing in a game like that.
"Everyone is buzzing, the team has really come together over the last few months, we've got a good squad and a good group of lads who are willing to put themselves on the line, it is going to be interesting times."
Henley and Rovers are back in action at Ewood Park this Saturday when Doncaster Rovers are the visitors. Tickets are currently on open sale priced from just £15 Adults, £10 Seniors and £5 for Under-16s. Book online today at www.onerovers.co.uk