The actress got too close to a candle at the glitzy gathering and set her spring trench coat on fire, fellow guests said.
The party was held at Sunday at New York hotel The Carlyle, where the Empire Suite was decked out with burning candles.
Hendricks, 36, managed to extinguish the fire -- but it burned a huge hole in the coat, which she ended up throwing away.
The redhead has had a run of bad luck. At this year's Golden Globes, she lost an $850,000 diamond bracelet on the red carpet.
Other celebrities at the party included Bono, Lily Rabe, Matthew Broderick, Helen Reddy, Tovah Feldshuh and Jackie Hoffman.