Henderson and James Arthur were in the bottom two on last night's (November 18) results show and the 16-year-old teenager ended up leaving after finishing bottom of the public vote.
Speaking on The Xtra Factor, Union J described Henderson as "one of the most amazing people in the world" and "unbelievably amazing in every way".
"For someone that good to come in sixth place is a tragedy," they added.
The four-piece claimed that they always thought either Henderson or Arthur would win the competition.
Meanwhile, band member Jaymi Hensley revealed that the reason he chose to announce that he was gay was because he didn't believe the group would last another week on the show.
"I've had some amazing support and I thought we were going to go this weekend, so I didn't want people to think we were hiding it to get votes," he said.
"It got to the point where we wanted to be ourselves."
The X Factor continues this weekend with Motown and ABBA themes.
X Factor shock exits - photo gallery: