He told the Western Mail: "Gavin is the best No 12 in the world and I'm just gutted we did not sign him.
"He was fantastic for us during this year's Six Nations, taking his game on to a new level. He's so strong and powerful and I think the style of play we used, with Gavin taking the ball up the middle more, suited him."
He added: "The more players that remain in Wales the better. A lot of the players go away for a change."
Henson joined fellow Grand Slam winners Shane Williams, Jonathan Thomas and Lee Byrne in committing his future to the Ospreys, while former New Zealand back-row forward Filo Tiatia and Wales international Paul James also signed.
"It's great for the game in Wales that these players are remaining with our regions. It can only be good for the game here," said Williams.