Henriksen resides part-time in the Hollywood Hills with his husband, Laurence Roberts. The couple's other home is in Copenhagen, Denmark. The couple married in 2008 shortly before same-sex marriage in California was placed on hold in the State by Proposition 8. In 2011, Henriksen became the first male recipient to receive the Grevinde Danners Ærespris—a Danish honorary award presented by the Danner Foundation in recognition of achievements in women's and children's rights. Henriksen was awarded for speaking publicly about abusive relationships of which Henriksen himself was a victim prior to meeting Laurence Roberts.
