The captain led by example in the first leg of the last-16 tie, registering more passes (72), passes in the opposition half (41), possession regains (eight) and tackles (four) than any of his teammates.
Henderson and co were unable to find a way through the Bayern defence but the clean sheet means the Reds can capitalise on the away goals rule in the return leg in Munich.
Asked about the individual performances of his skipper and Fabinho, who was deployed at centre-back with Virgil van Dijk suspended, Klopp told BT Sport: “A clean sheet without the big man – probably not a lot of people would have expected that.