Henderson had been a vocal supporter of gay rights during his time at Anfield.
But his move to the Gulf kingdom to join Al Ettifaq has been met with strong criticism from rights groups.
In an interview with The Athletic on Tuesday, Henderson said he has been hurt by that backlash and believes his presence in Saudi Arabia "is only a positive thing" given his previous statements in support of gay rights.
Rodgers, who said last month he had turned down an approach from a Saudi club before joining Scottish champions Celtic for a second spell in June, worked with Henderson for three years during his time as Liverpool boss.
"It's their profession, it's their life so they have to do what's best for them," Rodgers told talkSPORT radio on Wednesday.
"There are so many morality officers around the world nowadays that are judging people.
"But Jordan I know extremely well and I know the love he had and will always have for Liverpool.
"He was at the stage of his career where he probably wasn't going to be the first name on the team sheet any more.
"At 32 years of age, he's won absolutely everything. He probably fancied a different challenge and out of respect, it probably didn't feel right for him being at another Premier League club.
"So to go abroad and take on a new challenge clearly suited him."
Henderson's claim a huge rise in salary was not the driving factor for his departure from Liverpool has also been met with scepticism.
However, Rodgers believes it is the Saudi Pro League's strategy, as well as money, that makes it a serious rival to Europe's top leagues for football's best talent.
Cristiano Ronaldo's arrival at Al Nassr in December kicked off an exodus of star names from Europe, including Neymar and Karim Benzema.
"It's definitely something that makes players wobble because of the money that's talked about and what it can do for players and the legacy it can create for their families for years down the line," Rodgers added.
"What makes (Saudi Arabia) dangerous is not only the money, they have a plan. The plan is attracting top players and looking to get top managers out there."
