Henderson struck twice in two first-half minutes to secure the U's victory, who secured a consolation through substitute Elliot Richards.
Rovers goalkeeper Conrad Logan denied John-Joe O'Toole early on before Henderson fired Colchester ahead just before the half-hour mark after Kayode Odejayi had headed Lloyd James' cross back across goal.
Henderson scored his second goal two minutes later when he wriggled past Ben Swallow and shot past Logan, after Ashley Vincent's effort had deflected off a defender.
Rovers improved after half-time and U's goalkeeper Ben Williams foiled substitute Elliot Richards and Charlie Clough blocked O'Toole's effort on the goalline before Richards reduced the deficit with 18 minutes to go when he headed in Gavin Williams' free-kick.
But it was not enough to salvage a point for relegated Rovers in their final League One game.