The Bucks ended a five-game losing streak on the final evening of the regular season, which ended with them holding down the No. 8 spot in the Eastern Conference. Milwaukee will take on defending NBA champion Miami in the opening round of the playoffs.
Oklahoma City settled for 60 victories this year, having a four-game winning streak snapped. The Thunder finished with the best record in the West, two games in front of San Antonio.
Henson hit 11-of-19 from the field and added 16 rebounds. Brandon Jennings contributed 17 points.
Oklahoma City played without superstar Kevin Durant, who sat out the game to rest an ailing calf muscle and thus gave up his slim chance of catching New York's Carmelo Anthony for the NBA's scoring title.
Oklahoma City's Serge Ibaka had one blocked shot and finished the season with 242, most in the league. Reggie Jackson paced the Thunder with 23 points.