Larry Flick from Billboard commented, "Familiar-sounding midtempo jam from Vandross' current Never Let Me Go collection shows the singer in fine form. Lovely melody and a memorable chorus are laid into retro rhythm that will work best with older audiences. Broader acceptance will come via sparkling dance remixes by Frankie Knuckles and David Morales."[2] In his weekly UK chart commentary, James Masterton stated, "One of the few soul artists in the traditional sense to still be having UK hits is Luther Vandross."[3] Andy Beevers from Music Week gave it four out of five, naming it "one of the best tracks" of the album. He also complimented the Classic mix, that "is going to sound great on the radio".[4]James Hamilton from the Record Mirror Dance Update described "Heaven Knows" as "creamily flowing".[5]
Music video
A music video was produced to promote the single. It features NewsRadio actress Khandi Alexander appearing as one of the backup dancers. The video was later made available on Vandross' official YouTube channel in 2010 and had generated more than a half million views as of September 2021.[6]