15 consecutive penalties hit the back of the net before Anthony Elanga blazed his spot-kick over the bar to send the Championship side into the next round of the FA Cup on Friday.
The likes of Harry Maguire, Bruno Fernandes, Lee Peltier and Sol Bamba easily converted their chances - either tucking it away or picking out the roof of the net.
But Keane was left unimpressed with Henderson and Lumley's showing in goal, branding their performances during the shootout as 'dreadful'.
Speaking after Boro's 8-7 shootout victory, the Irishman said: "The keepers were dreadful.
"The two goalkeepers were dreadful in the penalty shootout. They got nowhere near them."
He added: "Both goalkeepers looked like they had no chance the way they were diving all around the place.
"It didn’t look like either of them were getting anywhere near them. They were dreadful."
Henderson was making just his third appearance for Man United this season as he plays second fiddle to David De Gea.
The English stopper has yet to start a Premier League match having failed to secure a move away from Old Trafford last month.
The 24-year-old was linked with moves to Newcastle United and Watford.
With Man United's elimination from the FA Cup, Henderson may find game time few and far between for the rest of the season.
Featured Image Credit: PA/ITV
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