Henderson, who grew up in Oakland, repeated a line he used in Cooperstown, saying he was "very very humbled."
During a ceremony before the A's game against Toronto, Henderson walked along a red carpet from center field to second, where he picked up a gold base and held it over his head. The speedster did the same thing with third when he set the career stolen base record in 1990.
Several of Henderson's former teammates returned for the ceremony, including Jesse Barfield, Mike Davis, Mike Norris, Ken Phelps, Tony Phillips, Dave Stewart and Bob Welch. Former teammate and Blue Jays hitting coach Dwayne Murphy also was there.
Stewart said Henderson stood apart from other greats because of the his ability to change a game with his bat or his legs.
"The reason Rickey is one of the top four or five players in major league history is because he had an impact in every game he played," Stewart said during the ceremony.
This was the second-biggest honor of the year for Henderson. He said the best part of the Hall of Fame induction weekend was spending time with players he didn't know.
"You never had the opportunity to play with some of the great ballplayers, but being that close around them, and being in the same category, was a great feeling, to feel that vibe of all the best players who played the game," Henderson said.
Henderson became the fifth Oakland player to have his number retired by the team, joining Dennis Eckersley (43), Rollie Fingers (34), Catfish Hunter (27) and Reggie Jackson (9).