The Reds travel to London on Saturday buoyed by a convincing 4-1 win over West Brom at Anfield - their sixth win in nine games this season.
Only Arsenal have won more games in the league than Brendan Rodgers' side and Henderson knows his team-mates have the chance to demonstrate their ability to compete with the best.
"Confidence is very high at the minute," Henderson told the club's official website. "We've started the season very well, but there's still room for improvement and we're still going to push and try and become better as a team.
"So hopefully we can keep doing what we've been doing and we can go to the Emirates and get a good result.
"They're all tough games in the Premier League and Arsenal have been flying of late. But so have we, so I think it will be a good game to watch and hopefully we can get a good result.
"It would send out a message to the rest of the teams that we're here and we mean business. But I think the main focus is going there and playing like we have been."
Henderson was deployed in a more advanced midfield role against Albion as Luis Suarez, with a hat-trick, and Daniel Sturridge, adding a fine chipped fourth, flourished ahead of him.
"Going forward, we were exceptional," Henderson added. "We're just focusing on progressing as a team and we're looking forward to the big game on Saturday.
"There are areas where we can improve, but we tend to keep that to ourselves and work on them out on the training pitch. But I think Saturday, overall, was a really good performance.
"We scored some great goals, but we've got to go there and, first and foremost, we've got to defend really well. Going forward we've been exceptional, so we need to keep that going."