The Reds go into Tuesday's clash at Anfield in fourth spot, just one point above Everton with both sides battling to finish in the top four this season.
Liverpool kept their FA Cup hopes alive with a 2-0 win at Bournemouth on Saturday and Henderson feels finishing in the top four this term would be a an achievement.
"I think our mentality is changing all the time. We want to win games and the winning mentality is coming," said Henderson.
"We are not easy to play against and we hate losing. So we just have to keep that going and keep it as it is. The top four is what we want to achieve. We've got to have that mentality going into every game, wanting to win and believing we can.
"We've got very good players, but we just need that mentality and be resilient in our performances. We work for each other and I think you've seen that here.
"It would be an achievement to finish in the top four. We're always looking to improve and that would be a massive improvement on last season. That's our aim and hopefully we can go far in this competition as well.
"I can't wait for the derby. It's a game everybody is really looking forward to. A couple of days rest and recover, and ready for Tuesday.
"I've been here quite a long time now and I feel at home and I want to be emotionally attached to Liverpool and want to do my best for the club and don't want to lose, especially in derbies.
"Hopefully, that won't be the case."