QPR and Preston played out a 1-1 draw at Deepdale last Saturday, but Henry felt his side may have collected the three points if his own defending had been better.
The 33-year-old says that he should have made a better attempt to stop the cross which led to Eoin Doyle’s headed equaliser.
“Had we got a second it would have killed the game but for their goal, I could have done better,” the midfielder said.
“I’ve gone out to close the guy down but I went out too quickly, I should have slowed down. It allowed him to get the cross in too easily.
“We had defended well all game, and in the second half if anyone was going to score I thought it would be us, but it wasn’t to be in the end.”
Rangers had taken the lead against Preston when Sebastian Polter finished well after being sent through.
At that point the R’s looked set to keep their slim play off hopes alive, but Jimmy Floyd Hasselbaink’s side failed to build on their lead and were made to pay.
Tjarron Cherry missed a golden opportunity to extend Rangers’ advantage, before Doyle’s header ensured that the points were shared.
QPR’s draw with Preston has left them sitting in 11th place in the Championship table - 11 points back from the top six, with just eight games remaining.