Henderson, who scored the goal that secured the series win for Canada, said Thursday that reports out of Russia he had agreed to attend the Feb. 26 game are false.
He has not been invited and knows nothing about it.
"I haven't talked to a soul, no one at all," Henderson said. "In fact, I'm going to be down in the Caribbean on holidays."
Henderson said the first he heard about his alleged participation was when people started to ask him about going to Moscow.
The 1972 series was the first time Soviet and Canadian NHL players faced each other, and a lot was on the line.
Canada had boycotted international competitions such as the Olympics since 1969 because only amateurs were allowed to play against a Soviet team that played hockey full-time.
Everyone, except the Russians perhaps, assumed that when the best Canadian players were allowed to take the ice it would be a relatively easy win.
That was not the case and it went down to Henderson's dramatic goal with just 34 seconds left in the eighth and final game for Canada to take the series 4-3-1.
While the Soviets lost, the series showed the great skill of players like forward Valeri Kharlamov and goaltender Vladislav Tretiak.
There has been a lot of talk about a game in Russia to mark the 40th anniversary, but nothing firm.
That seemed to change Wednesday, when Russian state news agency RIA Novosti reported that sports minister Vitaly Mutko had issued invites to players.
The report said Henderson, who scored the winning goals in three of the matches, had accepted.
It added that 1972 team captain Phil Esposito and Wayne Gretzky (who was 11 in 1972) had also been invited. A spokesman for Gretzky said they had not received an offer.
Andre Brin, the director of communications with Hockey Canada, said Wednesday they were aware of the event and were looking into the possibility of attending, but nothing had been confirmed.
Henderson says he has had absolutely no discussions whatsoever with anyone about the event and pretty much slammed the door on the idea he might attend even if he is contacted.
"No, I'm not going," he said. "There's no interest whatsoever."
This isn't the first false start for the proposed anniversary game.
Earlier this month, the Prime Minister's Office also denied a report Stephen Harper was going to play in the game against Russian Prime Minister Vladimir Putin.