Hennessey was on the bench for Wolves in the home win over Hull City on Holiday Monday.
Rosa has returned to Molineux after a month on loan with Cheltenham Town because he cannot be guaranteed first team football with the League One side.
"Denes has decided to return to Wolves. I was unable to guarantee him a first-team place and he wants to be playing regularly," Robins manager John Ward told his club's official website.
"But I am very pleased that he was able to help us out for a month."