Henderson is expected in Nottingham on Thursday after being told he can leave the Reds' Championship rivals on a free transfer.
The 31-year-old, who has scored seven goals this season, is one of the higher earners at Millwall and is also out of contract in the summer.
Lions boss Kenny Jackett is keen to get Henderson off the books at The Den in order to free up funds for new players.
"Henderson has been given permission to speak with Forest and this will happen on Thursday," Millwall director Peter Garston told South London Today.
"The decision to allow this to happen was purely Kenny Jackett's. He was under no pressure from the board and Kenny is in total charge of team matters.
"Henderson leaving will free up wages. Kenny has targets and will go for them when he is ready and get who he wants at the money he is willing to pay, but he won't rush into it."
Henderson has not scored for Millwall since the start of November - against Forest as the Lions won 4-1 at the City Ground - and he has been in and out of Jackett's side in recent months because of injury.
"He's speaking to them today (Thursday) and we will see how those talks go. We've got to presume they will be successful," said manager Jackett.
"If he does go I thank him for what he's done and wish him all the best in the future. His contract is up in the summer and maybe we need to regenerate in that area."