The 23-year-old enjoyed two successful years on loan at Bramall Lane, including promotion from the Championship and a Premier League top 10 finish.
Henderson returned to parent club Manchester United last summer to challenge David de Gea for the number one jersey but so far, the Spaniard is getting the nod.
In total, Henderson has featured 12 times for the Red Devils and according to the Manchester Evening News, Henderson will look to leave at the end of the campaign, if he remains second choice.
Henderson is frustrated by the lack of game time and has made his feelings known to manager Ole Gunnar Solskjaer.
Tottenham, Chelsea and West Ham United have expressed an interest in Henderson, whose valuation stands at a whopping £40million.
Solskjaer has previously stated Henderson will be United's next number one in the future, but it appears Henderson isn’t willing to wait around.
Chris Wilder’s side have definitely missed Henderson this summer, despite the arrival of Aaron Ramsdale from AFC Bournemouth.
The struggling Blades have conceded 41 goals in 25 top-flight games and have kept just one clean sheet.
Here are the latest transfer headlines from Sheffield United and their Premier League rivals:
1. Clubs eye Aguero
Sergio Aguero is a target for Barcelona, Paris Saint-Germain, Juventus and Inter Milan with his contract set to expire at the end of the season. City’s record goalscorer is yet to open talks over a new deal. (Daily Mirror) Photo: ADRIAN DENNIS
2. Ancelotti set for spending spree
Everton owner Farhad Moshiri is planning to back Carlo Ancelotti heavily in the summer transfer window. That is likely to mean a transfer kitty of around £100million. (Football Insider) Photo: PAUL ELLIS
3. Doubts over Doherty's future
Matt Doherty's future at Tottenham Hotspur is in doubt with manager Jose Mourinho harbouring doubts over the defender's ability to succeed at the club. The full-back joined Spurs for £15million last summer. (ESPN) Photo: Pool
4. PSG ready to reignite Bellerin interest
Paris Saint-Germain are ready to renew their interest in Arsenal right-back Hector Bellerin over the summer. The French giants offered £30million at the start of last season but failed to meet the Gunners’ £43m asking price. (CBS Sports) Photo: ADAM DAVY