"I would like to be there - it would be a lie to say otherwise," said Henchoz.
"Even if you are not really involved you are still in the squad and a Champions League final is something every player wants to be part of.
"Sometimes I think about that and it's a bit of a shame but it doesn't pay to look back too much in life and once the decision has been taken you just have to get on with it.
"I didn't expect Liverpool to go so far in the Champions League.
"It is surprising when you consider the way they have played in The Premiership this season but they have a good chance of winning the final.
"AC Milan are the favourites but it's a one-off game and for me it's very much 50-50. If you concede two or three goals against Milan it's unlikely you will be able to score three or four in return.
"To have a chance of winning they have to be solid at the back. Jamie Carragher has done well since the manager moved him into the centre of defence from right back.
"It was difficult for Benitez to change the team and that made it harder for me to get a chance.
"Steven Gerrard's the best player in the team and if he plays Liverpool have a chance."