Josh Lillis made a number of stops in the first half to keep Dale level, before a number of chances were spurned by Dale in a dominant second half display.
But when Henderson was brought down two minutes from time, he stepped up to give Dale a memorable three points.
There were two changes to the starting eleven from Tuesday night’s defeat at Shrewsbury Town. Donal McDermott and Nathaniel Mendez-Laing returned in place of Peter Vincenti and Grant Holt who dropped to the bench.
The opening stages were fast paced, with Dale pressing the Coventry defence high up the pitch as they attempted to play the ball out from the back.
The prolific Adam Armstrong fired the first shot of the game well wide for the hosts, before McDermott had a low effort well saved for Dale, with Henderson flagged offside on the rebound.
Ruben Lameiras had a close range effort blocked after a good run from John Fleck threatened the Dale defence. Lameiras then turned provider for Joe Cole, who forced Lillis into a low save at his near post.
Lillis had to make another low save just after the half hour mark, this time to his left from James Maddison. The Coventry youngster skilfully dribbled past two Dale defender before shooting left footed from outside the area, but Lillis collected it at full stretch.
The home side were seeing more of the ball in the closing stages of the first half, with Lillis twice keeping the scores level at the break. First he held on to a Romain Vincelot long range effort which was straight at him, before making a flying save to his left to deny Armstrong.
The striker was found by Lameiras outside the area and unleashed a half volley at goal, from which Lillis made a great save to turn the ball around the post for a corner.
Dale were able to limit the home side’s chances after the break and were the team looking more likely to score. Ashley Eastham had a header from a McDermott corner blocked on the line by Jack Stephens four minutes into the second period, before McDermott was replaced on the hour mark by Callum Camps.
A flurry of Dale chances came midway through the half as Dale pushed on, looking to break the deadlock. First Jim McNulty had a shot tipped over the bar after he made a run forward from left-back.
From the resulting corner Dale were inches from taking the lead, when Niall Canavan’s header hit Henderson on the line before being cleared.
Matthew Lund then came ever so close to opening the scoring, when he directed Rose’s cross back across goal, with the ball just flashing past the far post.
Mendez-Laing was replaced by Holt with twenty minutes remaining as Keith Hill made his second substitution of the game.
Coventry substitute Jacob Murphy forced Lillis into a save eight minutes from time after the ball fell kindly for him, before two minutes from time Dale had a golden chance to take all three points.
Joe Rafferty found Henderson in the area, who turned but was brought down by Chris Stokes, with referee Oliver Langford awarding a penalty. Henderson himself stepped up and sent Reice Charles-Cook the wrong way to put Dale ahead.
There were three minutes of added time which Dale defended well enough to hold on to the three points, sending the travelling Dale fans home ecstatic.