Lions chief Sir Clive Woodward has already stated that none of the 22 players involved on Tuesday will feature against the All Blacks on Saturday.
Henson said: "Obviously, everyone wants to play in the Tests, so there is bound to be some disappointment at not being selected for the first Test on Saturday."
The 23-year-old was central to Wales' Six Nations success earlier this year, booting a dramatic match-winning penalty against England which kick-started the entire campaign.
But with Woodward having already declared that none of Tuesday's 22 will be involved next weekend, Henson must quickly recover from a bitter blow.
"Competition was always going to be fierce, and this is a squad full of world-class players," added Henson.
"The challenge now is to play to the best of my ability, keep challenging and keep learning from the experience."
Ryan Jones, who produced a man-of-the-match contribution on his Lions debut against Otago, is now on course to make the Test 22, with the back row to face Southland comprising of Lewis Moody, Martyn Williams and Michael Owen.
Williams' selection suggests that 36-year-old Neil Back could start against the All Blacks, making him the oldest Test player who has started a tour in Lions history.
Woodward has named four backs on the bench, including England's Charlie Hodgson, while the forward replacements include Simon Easterby and Andrew Sheridan, who both had outside hopes of making the Test 22.
Elsewhere, Wales scrum-half Gareth Cooper will make his first start of the tour, and there is also a reappearance after a fortnight in the wilderness for England wing Mark Cueto.
British & Irish Lions team to face Southland in Invercargill on Tuesday, June 21:
G Murphy (Leicester and Ireland); M Cueto (Sale and England), O Smith (Leicester and England), G Henson (Neath-Swansea Ospreys and Wales), D Hickie (Leinster and Ireland); R O'Gara (Munster and Ireland), G Cooper (Newport-Gwent Dragons and Wales); M Stevens (Bath and England), A Titterrell (Sale and England), J Hayes (Munster and Ireland), S Shaw (Wasps and England), D O'Callaghan (Munster and Ireland), L Moody (Leicester and England), M Williams (Cardiff Blues and Wales), M Owen (Newport-Gwent Dragons and Wales, capt).
Replacements: G Bulloch (Glasgow and Scotland), A Sheridan (Sale and England), S Easterby (Llanelli Scarlets and Ireland), C Cusiter (Borders and Scotland), C Hodgson (Sale and England), T Shanklin (Cardiff Blues and Wales), G D'Arcy (Leinster and Ireland).