The 20-year-old is out on loan at Shrewsbury Town and he's impressed for the League One side, helping them to the top of the table after 12 games.
The youngster is highly-rated by the United backroom staff but Henderson is aware he may struggle to force his way into the first-team set-up anytime soon at Old Trafford and he could opt to pursue his career elsewhere.
He's only under contract until the end of the season and there appears no sign of a new agreement, leading to several clubs expressing an interest in his services - including Saints.
Reports say Watford, Stoke and West Brom have all also been alerted to his possible availability, while Aston Villa, Nottingham Forest and Wolves are keen along with teams in Europe.
Saints would certainly face a battle to land Henderson should he decide to leave United but they will hope their reputation for developing young talent would stand them in good stead.