The Bears (2-4) led 30-25 at halftime, and the lead changed hands seven times during the game.
Air Force (6-2) took the lead for good with 3:55 to go when Henke hit a 3-pointer to make it 58-55. Northern Colorado trailed 60-59 with 2:21 to go, but Yahosh Bonner's 3-pointer with 15 seconds left was the Bears' only field goal after that.
The Falcons made nearly 64 percent of their shots from the field and were 8-for-15 on 3-point shots. They also scored 27 points off turnovers.
Henke was 5-for-7 on 3-pointers.
Jabril Banks led Northern Colorado with 16 points.