The Sunderland winger impressed during his time at Coventry City last season where he made 12 appearances and had been wanted by Coventry to return this season.
However, when Steve Bruce and former Sky Blues boss Eric Black took over as managers of the Makams, they ran the rule over Henderson and like the City support and management were impressed.
"There's no chance unfortunately," said Chris Coleman to the CT about Henderson. "He's doing well at Sunderland. Steve Bruce likes him and he has got a good chance of getting into their side."