Williams was reluctant to give the Belgian any credit despite being mauled in a one-sided, 36-minute second set.
"I just think she made a lot of lucky shots, and I made a lot of errors," said Williams, who was eliminated in a grand slam quarter-final for the third time this year by Henin, who also ousted the American at the French Open and Wimbledon.
Asked if she felt she had lost the match rather than Henin winning it, the two-times Open champion said: "I think that's usually the case with me, that it's for me to win or lose.
"I really don't feel like talking about it, to be honest. I don't want to get fined," the eighth seed said, referring to penalties imposed for missing post-match news conferences.
"That's the only reason I came. I can't afford to pay the fines because I keep losing."
Williams had a set point at 6-5 in the first set, but Henin claimed the set on a tiebreak, 7-3, and then ripped through the second to set up a clash with either third seed Jelena Jankovic of Serbia or American 12th seed Venus Williams.
POSITIVE ATTITUDE
Williams, the 2002 and 1999 champion, came into the U.S. Open having not played since Wimbledon because of a thumb injury, but she said conditioning and her lack of tournament play was not a factor.
"I'm very fit. I can run for hours," she said.
Williams said she had a positive attitude going into the match. "I was really excited to go into it. I was ready. I was really ready to play," she said.
The win was Henin's first against Williams on a hard court.
"I can't explain that right now. I just don't know, so I can't help you there," Williams said.
Williams said she would have to watch the match to understand why she had failed against French Open champion Henin, who leveled their career head-to-head series 6-6.
"I got to go back and study and figure out how to beat her. That's it. Bottom line."
