The 34-year-old Pennington has undergone shoulder surgery three times, most recently last year after he was injured in Week 3.
Playing for the first time since that injury, Pennington lasted just two plays Sunday 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.
Henne was in the training room Monday being treated for a left knee injury that sidelined him in the third quarter.
Third-string quarterback Tyler Thigpen is expected to start against the Bears after finishing Sunday's victory.
"I've got a lot of confidence in Tyler," Sparano said. "This guy has really been throwing the football well in practice and has made tremendous improvement. It's one of the reasons why we repped him the way we did in preseason."
The Dolphins gave at least four other free-agent quarterbacks a tryout Monday, including Tom Brandstater, Tommy Grady, J.T. O'Sullivan and JaMarcus Russell, according to NFL insider Jason La Canfora. The team was expected to sign a roster replacement for Pennington.
The 31-year-old Ramsey has bounced around the league since his four-year stint with the Washington Redskins ended in 2005. His most recent stop came last month in Jacksonville, where he was signed and released by the Jaguars over the course of a week. He has thrown 35 touchdowns and 31 interceptions in his career with a passer rating of 74.9.
The Associated Press contributed to this report.