Henderson moved to Saudi Pro League side Al Ettifaq from Liverpool on a three-year deal in July. The switch to Saudi Arabia, where homosexuality is illegal, made headlines as he has long been a supporter of 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," Henderson told The Athletic.
"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."
After 12 seasons at Liverpool, many fans were shocked at the captain's decision to leave the club. But Henderson felt he was no longer an essential part of manager Juergen Klopp's plans.
"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," Henderson said.
"I won’t go into detail about the conversation because it's private, but it put me in a position where 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 denied that the reason he agreed to join Al Ettifaq was the financial reward on offer.
"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."
Henderson has been named in England's squad to play Ukraine in a Euro 2024 qualifier in Poland on Saturday before visiting Scotland in a friendly the following week.
England LGBT group 3LIONSPRIDE issued a statement saying they would no longer cheer his name or use a banner with Henderson's face. Some of them may also turn their backs to the pitch. Henderson said he was hurt by the criticism.
"I do care. I'm not one of these people who goes home, forgets about everything and is just like, “I'm fine, my family is fine, just crack on.
"But at the same time, I knew people can look at it like that and they’re entitled to their opinion, they’re entitled to feel like that. All I can say is that I apologise, I’m sorry that I’ve made them feel that way. But I haven’t changed as a person."
