Qatar's treatment of foreign workers and restrictive social laws has led to criticism of world governing body FIFA's choice as hosts for the finals which starts in less than three weeks.
Henderson has been a firm supporter of Stonewall's Rainbow Laces campaign and knows that the spotlight will be on the players at the World Cup.
"When you do things as a team or as players, I'm always conscious that no matter what we do that it will never be enough," Henderson told BBC Breakfast on Tuesday.
"You've got to be satisfied in your own mind and know what you're doing you think is right and go with that."
Australia's team released a video last week speaking out against Qatar's record on human rights and same-sex relationships.
"As players we fully support the rights of LGBTI+ people, but in Qatar people are not free to love the person that they choose," Australian midfielder Denis Genreau (23) said in the video.
Denmark will wear toned down kits at the World Cup that were designed by manufacturer Hummel as a protest against Qatar's human rights record ahead of the tournament.
An all black design, which Hummel said signifies the "colour of mourning", will be their third kit in Qatar.
Qatari ruler Emir Sheikh Tamim bin Hamad al-Thani has said that while some criticism was constructive, it also included fabrications and double standards.
