"I find it very disappointing that the manager assured me, after accepting the bid from Preston earlier in the summer, that if a similar bid was made I would be allowed to leave," Henderson told skysports.com.
"Fulham have come in and made a good bid and I would like to return to the Premier League.
"It is nothing to do with money it is about playing football.
"The manager at Watford earlier this summer appeared happy to let me go, but now he will not let me leave.
"Football is all about opinions and everyone is entitled to their opinion at the end of the day."