Henderson's England future has been called into question after he made a move to Al Ettifaq in the unheralded Saudi Pro League.
The 33-year-old has hopes of featuring for the Three Lions at next summer's European championships in Germany.
A number of high profile players have made the move to Saudi Arabia in recent months, including Cristiano Ronaldo, Karim Benzema, N'golo Kante, Roberto Firmino, Fabinho, Ruben Neves, among others.
Speaking to TalkSport, Southgate maintained Henderson could still have a part to play for his country moving forward.
“I spoke to him in the summer, the question he wanted to know was, ‘If I move here, are you going to automatically rule me out?’, Southgate said.
“We would be stupid to do that. Why would we rule anyone out based on where they are playing? We have got to see how they are playing.
“We have an idea of what that league will look like but we won’t know until we actually start to see the games.
“If you asked me three months ago what that league would look like, I’d have a very different idea to what it is looking like as more and more players decide to go there.
“Big-name players but not so many that are in the prime of their careers but not players past their sell-by date.
“I think that whole project is fascinating for where it is going to head and what that might look like over the next few years.
“But Henderson won’t be playing in the Premier League. He won’t play in the Champions League, which is the easiest assessment for the level he is playing at.”
Henderson has won 77 caps and scored three goals since making his England debut in 2010.
