The 30-year-old striker, who had scored two hat-tricks in his last two appearances, popped up with the equaliser four minutes from time to keep the 2004 FA Cup finalists' campaign alive.
That came after Rickie Lambert, back from a three-match suspension, had given the Saints the lead by heading home Dan Harding's cross in the 31st minute.
But Jackett, who signed Henderson from Sheffield United over the summer, was quick to state afterwards that Millwall did not make the most of the striker's performance.
"Darius is on a very good run and it was a good finish from him for the goal - he put in a good performance and was a real threat for us," said Jackett.
"But we didn't do enough off of him, we didn't quite capitalise enough on his skills although I didn't think we deserved to get beaten.
"We had the better of the play up until their goal but then after it we were staring at a potential defeat and going out of the cup.
"The potential for us to get through is a big thing and it's a big thing financially as well. We haven't come back often enough this season and I'm pleased to say we fought back.
"The team has spirit and at times play some quality football but this game was almost indicative of our season. We had a lot of the ball but couldn't put it away."
Meanwhile Southampton boss Nigel Adkins found plenty of positives to take from the result despite the Saints surrendering their lead in the dying moments.
"I thought it was a real good cup tie and we look forward to the replay at our place," said Adkins. "A draw was probably a good result in the end.
"There were waves of pressure coming in from Millwall but I thought Rickie Lambert scored a great goal, it was a great run and he was waiting for the space to open.
"We have missed him the last three games and there were other massive positives for us. Lee Barnard has been out for a hell of a long time and he played an hour.
"Jason Puncheon has rejoined us and worked very hard for 75 minutes before we replaced him with Luke Shaw - a 16-year-old from our youth team.
"We gave our younger players a chance and we have players who have been out injured for a long time who are close to coming back to fitness.
"We are high in the league but you always want to do well in the FA Cup."