The 32-year-old was a key figure as the Foxes completed defied the odds to lift the Premier League last season.
A number of Mark Warburton's summer signings made their Ibrox debuts on Tuesday.
West Ham United drew 2-2 with FC Slovacko yesterday in pre-season action.
Henderson only made 26 appearances in all competitions last season.
Leeds United midfielder Alex Mowatt fell short of his best last season.
The midfielder says Norwich need to hit the ground running next season, starting with their trip to Blackburn Rovers on the opening weekend.
The Dutch international is being courted in Beijing.
Sunderland look set to lose their manager to the national side.
The Scotland international looks set for a move to St James' Park.
Tony Pulis wants the Leeds United left-back and a £5 million deal is being mooted.