Klopp lost to Villarreal manager Unai Emery, who was in charge of Sevilla at the time, in the 2015-16 Europa League final during his first season at Liverpool.
But Liverpool reached the first of back-to-back Champions League finals two years later and won the competition in 2019.
Klopp said the Europa League loss was “tough” to take but was important in Liverpool’s journey to success.
“I haven’t thought about that for a while. It was important. I said that night, I thought we’d come back from that moment stronger and we did,” he said.
“That night was a tough one to take. It was game number 64 of that season, a tough season. We can not really compare football games.”
Henderson was on the bench as Sevilla came from behind to beat Liverpool 3-1 in Basel.
“That night always sticks out for me because after the game, going back to the hotel, all the lads were disappointed and you just wanted to go back to your room and get your head down,” he said.
“The gaffer was a bit different to what you’d expect. He had everyone down in the bar area. I felt he knew that this was the start of something special to come.
“It was very difficult to think that then, having just lost a final, but I always felt he knew what was coming in the next few years. He has proven that was the beginning of something special.”