The Owls face Hull City in the Championship play-off final.
The former Liverpool boss was confirmed as the next Celtic manager last week.
The two midfielders were key to Liverpool and West Ham United this past season.
Queens Park Rangers are expected to be particularly active in the upcoming transfer window.
The striker finished as the top goalscorer in the Premier League this season.
Former Liverpool boss Brendan Rodgers was recently appointed the Celtic manager.
Henderson has missed large parts of the season for Liverpool through a succession of injuries.
Everton have been linked with both Newcastle United's Rafael Benitez and Stoke City's Mark Hughes.
Mark Warburton's Glasgow Rangers side were beaten 3-2 by the Scottish Championship team.
The Whites are reportedly closing in on a new manager.