The fullback appears set to join Real Madrid when his Liverpool contract expires at the end of the season.
The reports have sparked a furious reaction from Liverpool fans.
But Merson told Sky Sports: "I don't know what the problem is.
"He's come through there, he's been unbelievable. He's won everything in the game there, at Liverpool, and he's going to go on a free.
"Look at Antony, he's just been bought by Man United for £80million (in 2022) and he's now out on loan and no one says a dicky bird.
"This lad has been absolutely outstanding for Liverpool. He hasn't come in as a £60m flop. He's been through the ranks, he's come into the team, he's been phenomenal. And... it's Real Madrid. Do you know what I mean?
"He's won the league (in 2020). He's going to win the Premier League with Liverpool again (this season). He's won the Champions League (in 2019), and I don't see a problem with it. I really don't.
"I don't know anybody in the world of football who's ever turned Real Madrid down, I don't. Fair play to the lad, good luck to him."
'I think Liverpool fans should be happy for him.
'He's given everything for that club, and I think he deserves that move, in my opinion.