US and Iraqi officials have denied reports that two women prisoners held in Iraq could be freed.
Mr Hensley's death has not been formally confirmed
The denial comes in the wake of a demand by hostage takers for the release of all women in jails run by the US-led coalition.
The militants have killed two hostages and are threatening to kill a third, Kenneth Bigley from the UK.
The UK Foreign Secretary said the UK was trying hard to secure Mr Bigley's release, but held out little hope.
Jack Straw added that the Bigley family was "preparing for the worst".
The US embassy in Baghdad, meanwhile, said it received the decapitated body of American hostage Jack Hensley from Iraqi authorities on Wednesday - his 49th birthday - and was arranging for it to be flown home to his family.
The first hostage, Eugene Armstrong, 52, was killed on Monday.
'Not enough evidence'
Two Iraqi ministers said earlier on Wednesday that the two women - Rihab Rashid Taha and Huda Salih Mahdi Ammash - might be released in the near future.
RIHAB RASHID TAHA
Nicknamed Dr Germ
Worked on Saddam Hussein's biological weapons programme
Accused of producing anthrax
Educated in UK's University of East Anglia
Surrendered to US forces in May 2003
Considered important target, but not on US list of 55 most wanted Iraqis
But in an interview for the BBC's Newsnight programme, Foreign Minister Hoshyar Zebari said Rihab Taha was a "highly valued prisoner" and there were "no immediate plans" to let her go.
The US also dismissed statements that the female scientists would soon be freed.
US officials say they are the only women in US custody in Iraq. The UK has denied holding any Iraqi women prisoners.
Dr Taha is said to have carried out top-secret work during the 1980s on germs that cause botulism poisoning and anthrax infections.
Dr Ammash, a biotech researcher known as Mrs Anthrax or Chemical Sally, was on the US military's list of the 55 most-wanted members of Saddam Hussein's regime.
British family's hope
Jack Straw said the British government was not seeking an accelaration of the women's release or any kind of bargain for the release of Mr Bigley.
"We cannot get into a situation where we start bargaining with terrorists and kidnappers," he told journalists at the UN General Assembly in New York, "because if we were to, we would make Iraq or anywhere else safer, we would make them less safe."
Kenneth Bigley's family had welcomed the Iraqi suggestion of a proposed prisoner release.
Mr Bigley's brother Paul told BBC radio: "Hopefully they [the kidnappers] will pick this up on the media, and show that they have a gram of decency in them by releasing Ken."
The three hostages were kidnapped on Thursday by militants claiming to be from the Tawhid and Jihad group, headed by al-Qaeda suspect Abu Musab al-Zarqawi.
Gruesome video footage was released on Monday showing Mr Armstrong being killed by a masked man - said by the CIA to be Zarqawi. Mr Armstrong's body was later recovered.
"The British prisoner will get the same fate if the British government doesn't do what it has to," said a statement on an Islamist website.
A Canadian woman kidnapped in Iraq has reportedly been released after 16 days in captivity.
Canadian Foreign Minister Pierre Pettigrew told Canadian television that Fairuz Yamucky was freed by US troops on Tuesday night, the AFP news agency reported.
More than 100 foreigners have been abducted in Iraq over the past 17 months, as part of efforts to destabilise the US-backed interim government and to drive out foreign troops.
They include two French journalists who were abducted last month and two female Italian aid workers who were seized with two Iraqi colleagues on 7 September.
Tawhid and Jihad is considered to be the most ruthless of the hostage-takers.