Southampton were beaten 1-0 by Crystal Palace on Saturday.
The Saints were unable to hit the back of the net at Selhurst Park, but that owed much to Hennessey's display.
The Welsh international was in superb form throughout the match, and his late save from Shane Long drew credit from Koeman.
“Paulo (Gazzaniga) had some good saves," Koeman said. "I think both goalkeepers deserved a win about the performances what they showed, and the goalkeeper of Crystal Palace maybe a little bit more because the header of (Steven) Davis and the last one, the big chance of Shane (Long)."
“That’s the reason I think we deserved one point.”
Hennessey has forced his way into Palace’s team this season, and he seems to be establishing his place as the London side’s number one.
Despite facing competition from Alex McCarthy and Julian Speroni, Hennessey has stood out and his performances of late have been excellent.
Palace are most noted for their attacking quality, but their defensive strength has also come to the fore in recent weeks, and it has helped them climb up the Premier League.
The Eagles have made a wonderful start to the season, and they now sit in sixth place – just three points off the Champions League qualification places.