Third choice behind former England international David James and Dean Gerken this season, the 23-year-old is out of contract in the summer.
City have offered Henderson a new two-year deal but could face competition for the Irishman's signature from Yeovil following his heroics while on loan at Huish Park, where he was voted player of the year.
However, Millen sees Henderson as an integral part of the squad he is building, saying: "It's important to have three good goalkeepers and I want to keep all of mine.
"Stephen showed what a good prospect he is by going to Yeovil. He has shown beyond doubt that he can play at that level and do well. The next step up for him is to prove himself in the Championship.
"With that in mind, I would like him to commit to the club because I believe he has a good future in the game. We've made Stephen an offer, which he is considering, and the situation is on-going."
Source: PA
Source: PA