The former Liverpool star - who captained the Reds to Premier League and Champions League glory during a successful 12-year stint with the club - made the controversial move during the summer window amid a chorus of controversy pertaining to the player's track record of speaking out over various human rights issues, particularly on behalf of the LGBTQ+ community.
Campaigners openly questioned the player's move as same-sex sexual activity is illegal in Saudi Arabia.
In an interview with The Athletic, Henderson revealed he "understood" the anger and frustrations and that "he does care", but that ultimately he made the choice for his family and his career.
"There were a few things that sent alarm bells ringing. I've got a very good relationship with Jurgen. He was very honest with me. I knew that I wasn't going to be playing as much. I knew there were going to be new players coming in my position," Henderson explained.
"And if I'm not playing, as anybody will know, especially the manager, that can be quite difficult for me and especially when I've been at a club for so long, I've captained the team for so long.
"Especially when England's a big thing for me. You've got the Euros coming up. And then there was an approach from Al Ettifaq to the club to see if it would be possible for me to go there. The reaction from the club again wasn't to say no.
"It needed to be something that I felt as though I could add value in and do and try something new - a new challenge and for different reasons. And this opportunity with Stevie (Gerrard) in a totally different league and totally different culture was something completely different, that maybe it would excite us in terms of the project that was put in front of us, in terms of the league and using my experience to try to help with that in many different areas and feeling that people value.
"It's nice to feel wanted. I know Stevie really wanted me. I know the club really wanted me to go and they wanted us to try and build over the next few years - something that is here to stay and be one of the best leagues in the world."
Henderson - who has been named in Gareth Southgate's latest England squad for the upcoming European qualifier against Ukraine - also stated that he hoped to try and enact some change from within the country so long as it didn't go against the beliefs of Saudi Arabia's culture and that the move was in no way financially motivated.
"People can believe me or not, but in my life and my career, money has never been a motivation. Ever.
"Don't get me wrong, when you move, the business deal has to be tight. You have to have financials, you have to feel wanted, you have to feel valued. And money is a part of that. But that wasn't the sole reason. And these possibilities came up before money was even mentioned.
"There can be a lot of criticism, a lot of negativity around me as a person. And that was difficult to take. But I just feel as though, because I do care about different causes that I've been involved in, and different communities… I do care. And for people to criticise and say that I'd turned my back on them really, really hurt me.
Henderson continued: "I've gone above and beyond to help (the LGBTQ+ community). I've worn the laces. I've worn the armband. I've spoken to people in that community to try to use my profile to help them. That's all I've ever tried to do.
"When I hear stuff like, 'You've turned your back on us', that hurts me. I do care. I have family and friends in the LGBTQ+ community."
"I can understand the frustration. I can understand the anger. I get it. All I can say around that is that I'm sorry that they feel like that. My intention was never, ever to hurt anyone.
"My intention has always been to help causes and communities where I felt like they had asked for my help. Now, when I was making the decision, the way that I tried to look at it was I felt as though, by myself not going, we can all bury our heads in the sand and criticise different cultures and different countries from afar. But then nothing's going to happen. Nothing's going to change.
Henderson also said he would not rule out wearing rainbow laces in Saudi Arabia, insisting the gesture still fully aligns with his values, but he does not want to be disrespectful.
The midfielder is reported to be on a salary of around £700,000 per week, although he denied that was the case during the interview.
England and Henderson face Ukraine in Poland on Saturday in a Euro 2024 qualifier and take on Scotland in a friendly at Hampden Park on September 12th.
