The former Blackburn man fell out of favour under Rafa Benitez last term and he joined Celtic during the January transfer window.
Henchoz is now on a one-year deal with newly-promoted Wigan, but the 30-year-old wishes he could have remained at Anfield.
"Liverpool is not a club that you want to leave, it's a club that you have to leave," explained Henchoz.
"If I could have finished my career at Liverpool, I would have. It was a big disappointment but you have to live with it.
"Sometimes you think you have made the wrong decision. Maybe I should have stayed and not left in January and things could have turned out differently."
Henchoz missed out on UEFA Champions League glory with Liverpool and the experienced stopper found it hard to watch the thrilling final in Istanbul.
"It was very difficult watching the final because I never thought they would go all the way," he added.
"I was happy because I love the club, the players and the fans. It means much for a city like Liverpool, but I would have been happier to have been there."
What a shame
How we could do with a Ch and he was a pretty good one.
