Henson's Police Detective Joss Carter was shot to death on Tuesday's episode of the show.
The actress talked about the surprise plot twist on Wednesday's edition of "Late Show with David Letterman."
Henson told Letterman she was aware when she "signed on to do the project that the character would have a beginning, a middle and an end," and that she knew it would happen, "but I just didn't know when."
Letterman asked if she was able to share the secret with anybody before the show aired this week.
Henson said she "felt like I've been hiding a secret, keeping a secret from my lover for years." She also confessed she told her mom and grandmother "because you can't shock Grandma like that. She might go into cardiac arrest."