Liverpool thought they deserved a spot kick in the dying stages of their 0-0 draw with Stoke.
A Georginio Wijnaldum cross struck the arm of Erik Pieters, deflecting the ball away from Roberto Firmino.
The referee waved away the appeals as Stoke held on for a crucial point in their relegation battle.
And Henderson was left in disbelief over the decision.
“For me it looked a pen, a clear one,” the Reds captain said.
“I said a few time in games like this, maybe in the Champions League against Manchester City we were lucky, in the Premier League, not one time.
“We should have got more penalties, we don’t have them.”
But Lambert, whose side is now just four points off safety, had a totally opposite opinion.
“Listen if that is a penalty we may as well all just have left,” the manager said.
“It is never a penalty.
“You can understand Jurgen’s frustration about it but it’s no penalty.”
Liverpool’s point sees them move to within two of second-place Manchester United.
