Henderson ended up in the sing-off with James Arthur, and O'Leary claimed that the studio audience were "numb" when he announced the results.
"We're not allowed to have favourites, but she was my favourite," said O'Leary.
"Do you know why? Because she was unflappable, she was professional, she was wise beyond her years. She enjoyed this whole experience.
"There was never a side of her that was bitter or panicky. She never turned into a diva. She was a really beautiful kid. I just hope she gets picked up by a record label. She's just too good."
Last night, O'Leary tweeted about the results, writing: "Bloody hell. #gutted."
He added later: "Nite all. For those idiots saying its a fix... Who in their right mind would fix that result."
The X Factor continues next weekend with ABBA and Motown themes.
Photo gallery - X Factor results show 7: