Henderson signed for the Saudi club to play under Gerrard, who is the manager at Al-Ettifaq.
However, he was unable to settle and moved to Ajax on a free transfer six months later.
I respected his (Henderson's) decision because I love him as a guy, I love him as a player and I have nothing but ultimate respect for him," he told The Telegraph.
I was disappointed. Any manager who loses his captain during the season is not ideal and I told Jordan that. But if someone is not settled. If someone has some family things that are affecting him.
"If someone has got different outside goals or opportunities, like England for example, then I have to respect that and understand it. And I do. But was I disappointed? Of course I was."
I did but I didn't overdo that because it had to be Jordan's decision," Gerrard added.
He's a big boy and I didn't want to be someone for example, if I had convinced him to stay and he felt further down (the line) that it was the wrong decision then I didn't want to be that person who was told 'why did you convince me to stay?'.
"It had to be Jordan's decision. He needed his own time. He needed to go through his own processes. The advice I gave to Jordan was 'do what's right for your family'."