In his first interview since controversially joining Al-Ettifaq from Liverpool, Henderson also told The Athletic the transfer was not motivated by money.
Same-sex relationships are criminalised in Saudi, where the LGBTQ+ community face severe repression and legal peril. Henderson had previously been considered one of the game's leading allies with the community but has faced fierce criticism since the move.
The England midfielder said: "I can understand the frustration [of the LGBTQ+ community]. 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 have asked for my help.
"When I was making the decision, the way I tried to look at it was... 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.
"I think people know what my views and values were before I left and still do now. And I think having someone with those views and values in Saudi Arabia is only a positive thing. I strongly believe that me playing in Saudi Arabia is a positive thing."
When I hear stuff like, ‘You’ve turned your back on us’, that hurts me.
Henderson added: "The last thing I want to do is to upset anyone who is part of the LGBTQ+ community. I've gone above and beyond to help. I've worn the [rainbow] 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. I'm not going to sit here saying, 'Why are they criticising me?' I understand it. 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."
Challenged on how his move would help enact change in Saudi, Henderson said: "I'm not saying that I'm going there to [change laws or rules]. But what I'm saying is people know what my values are and the people who know me know what my values are. And my values don't change because I'm going to a different country, where the laws of the country might be different.
"They [the Saudis] knew what my beliefs were. They knew what causes and campaigns I've done in the past and not once was it brought up. Not once have they said, ‘You can do this, you can't do this'. And I think it can only be a positive thing to try to open up, like around [the World Cup in] Qatar.
"They changed some rules and regulations to be able to host the World Cup and I think that's positive. That's the way you try to create positive change. I'm not saying that I can do that. I'm one person."
Henderson insisted money was not a factor in his decision and rubbished reports he is earning £700,000 a week.
"People can believe me or not, but in my life and my career, money has never been a motivation, ever," Henderson said. "No, honestly, the [reported] numbers just aren't true. I could have stayed at Liverpool and earned a lot of money, and if people don't believe that, then there's nothing I can do."