Henderson was injured Friday against the Pirates.
Roenicke says the right-hander was limping Saturday and is scheduled to be examined by a doctor. He says the injury might force the team to make a roster move.
Henderson was hurt while delivering a pitch in the ninth inning. He gave way to Francisco Rodriguez, who earned a save in the Brewers' 2-1 win.
Henderson has not allowed a run over 6 2-3 innings in his last seven outings. He has nine saves and a 0.92 ERA.