It was a hugely disappointing end to an otherwise impressive European campaign that saw Ulster reach their first final in 13 years thanks to victories over some of the biggest names in the game.
Leicester, Munster and ASM Clermont Auvergne were all beaten en route to the season's showpiece but Henry admitted the side they faced at Twickenham are by far and away the best in Europe
"We couldn't have given any more and it just shows what a fantastic side Leinster are," said Henry.
"What was basically said after the game is that everybody put their bodies on the line.
"But, as much as we put our bodies on the line, in some ways it's a wake-up call for us, to show us what it really takes.
"Leinster were so clinical, it was incredible. Any mistake, any turnover, they pounced on.
"When they were ahead, we were chasing the game and when you're chasing the game, you start to make more errors. It was daunting out there at times.
"The middle part of the game was really intense and we crept back in with Dan Tuohy's try. Even up to then, we felt we could fight back but we were up against the best team in Europe and it showed."
While Henry was devastated with defeat on the biggest stage of all, the 27-year-old deserves praises just for making it into the Ulster starting lineup for their most important fixture in 13 years.
The former club captain, who was named his province's players' player of the year earlier this month, was a serious doubt for the final after picking up a nasty ankle injury.
Henry missed the semi-final success over Edinburgh at the Aviva Stadium and had only played 18 minutes of rugby in six weeks prior to the trip to London and he admits a lack of match fitness and the enormity of the occasion was tough to deal with on Saturday.
"Within the first 10 minutes my lungs were killing me because I hadn't played rugby since the Munster game because of my ankle," added Henry, who is hopeful that Ulster will bounce back in style next season.
"So for me, I was nervous whether my lungs were going to be able to cope with such a fast game. But once I got my second wind, the nerves settled down on that front.
"Then, when they scored their two tries, the nerves really kicked in again. But you've got to learn to control them and I think, even dealing with that during the game, I learned a lot. I suppose nerves and doubts always creep in no matter who you are and it's about using that the right way.
"We'll use this defeat in the right way, it's not the end of the world, there are far worse things that can happen to you in life. But on the other hand, this is our life, this is our job and it's really difficult.
"For some of us there's more rugby left to come this season, but if not we'll get back into pre-season and it starts all over again.
"The experience that we've all got is amazing - this is the biggest game we've ever been involved in.
"The nerves can't be described going into that kind of situation but we'll be able to use that experience in the future and be more relaxed."