The 31-year-old Croatian was part of the Champions League and Premier League-winning teams of the past two seasons before his six-year stay with the club ended with a move to Russian side Zenit St. Petersburg in July.
Lovren said he was "without words" after revealing on his Instagram account that Reds captain Henderson had sent him a replica Premier League trophy and an emotional parting message.
Lovren was part of the Liverpool sides which won both the Champions League and the Premier League under Jurgen Klopp.
"Dej, It's impossible to think of Liverpool without you being with us and to be honest it hasn't really sunk in yet you won't be coming back," Henderson wrote in the letter shared by Lovren.
"You have been such a massive figure in our team and one of the biggest influences in helping drive us to the point where we are at now ".