He has endured an injury-ravaged season, starting just two of Wales' nine Test matches.
And Lions boss Ian McGeechan is due to announce his South Africa-bound squad in just over three weeks.
"It looks like an injury to his right ankle," said Ospreys head coach Sean Holley, following the cup holders' demise.
"The ankle is non weight-bearing at the moment, and he is having it iced."
Henson was not the only casualty, as injuries also forced off Gloucester and England centre Mike Tindall (knee) and Ospreys lock Ian Gough (thigh).