The news was reported by the English newspaper on Sunday and Henderson’s name has been linked to the story.
However, the former Sheffield United loanee has denied the allegations.
In a statement posted on Instagram, Henderson wrote: "Can't believe I'm having to do this but I'd just like to address the rumours that have come to light in the last couple of days.
"There are some sad people in the world that have attached my name to such inappropriate, hurtful and totally false news stories.
"I have a family who have even affected by this so wanted to put the rumours to bed and move on."
Another Manchester United player, Mason Greenwood, has been suspended by the club after being charged with sexual assault.
Henderson has made just three appearances for Manchester United this season, having had to play second fiddle to the outstanding David De Gea.
The 24-year-old has won one cap for the England national team.
