The inevitability of Henderson's departure leaves Blades fans unsurprised, as he signs for the London outfit on a two-year deal.
The 29-year-old's departure could now pave way for an influx of incomings to Bramall Lane, with his reported high wages no longer being a problem.
The striker had a torrid time with injury last season, which saw him only feature in eight games.
Manager Danny Wilson commented: "Obviously we think Millwall have got a great deal. Darius is a very good targetman and we wish him all the best at his new club.
"Following relegation we're aware that some players will want to move and Darius, who is in his late 20s, feels at this moment in time that it is very important to be playing in the Championship."
Meanwhile, Henderson himself on Twitter wished the Blades "all the very best for the future."
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