Multiple sources are reporting that both quarterbacks could be finished for the season.
The Dolphins will almost certainly sign at least one quarterback from free agency or the practice squad to backup Thigpen. Former No. 1 pick Jamarcus Russell is among the names under consideration, the Miami Herald reports.
Pennington -- who made his season debut Sunday after being named the starter over Henne earlier this week -- lasted just two plays before he departed with another injury to his troublesome right shoulder. He was hit while throwing an incompletion on the first play, completed a pass on the next play, then called timeout and left the game.
Fox Sports and NFL Network reporter Jay Glazer reported the team believes Pennington might have dislocated his shoulder.
The 34-year-old Pennington has undergone shoulder surgery three times, most recently last year after he was injured in Week 3. Pennington hadn't played since, and now the Dolphins wonder if he'll be able to play again.
"For him to have another shoulder problem, it's tough," Henne said. "I'm sure he's going to have some decisions to make when he finds out what's going on.
"We're stuck with this situation. We'll see what happens."
Henne hurt his left knee in the third quarter when he was hit by 305-pound defensive tackle Tony Brown as he threw an incompletion. He walked off the field and was scheduled to undergo an MRI exam.
"It doesn't feel good," Henne said. "But if I can stand it, if I can run on it, I'm going to play. We'll see what happens. I'm not going to be one to baby my knee. If I can be out there, I'll be out there."
Thigpen started 11 games in a similar situation for the Kansas City Chiefs in 2008. Thigpen was elevated from third on the Chiefs' depth chart when quarterbacks Brodie Croyle and Damon Huard went down with injuries. Thigpen finished the season with 2,608 yards, 18 touchdowns and 11 interceptions. He also rushed for 386 yards and three touchdowns.
The Associated Press contributed to this report.