England captain Henderson, 33, was jeered by a section of fans when he was substituted in the 62nd minute.
"He is a role model in the squad," said Southgate. "I don't understand it."
The ex-Liverpool captain summer in a move which sparked significant controversy.
Henderson was a vocal ally of the LGBTQ+ community during his time with Liverpool, but LGBTQ for moving to Saudi Arabia, where same-sex sexual activity is illegal.
Earlier this month Henderson, named England captain for the night with regular skipper Harry Kane an unused substitute, posted a video to his social media accounts where he backed Saudi Arabia's 2034 World Cup bid.
Asked if Henderson's move and support for the bid were behind the booing, Southgate said: "I know what's created it but it defies logic that you would give a player who is playing and putting his heart and soul into playing for England... why boo him?"
Southgate added he did not want "to elaborate" on the reasons why supporters were jeering Henderson.
"How is [booing] going to help him or the team?", he asked. "He has got 79 caps for England - what he has delivered is exceptional.
"He has taken Jude Bellingham under his wing. He knitted things together on the field tonight in a team with not a lot of caps."
When Henderson's switch to Al-Ettifaq was announced, the club released a welcome video on social media with a montage of Henderson's career, but his rainbow armband had been greyed out.
Henderson Really hurts, but added in an interview with the Atlentic: "If I wear the rainbow armband, if that disrespects their religion, then that's not right either. Everybody should be respectful of religion and culture."
The former Sunderland midfielder has played in three World Cups and three European Championships for England and won the Champions League, Premier League, FA Cup and EFL Cup as Liverpool captain.
He has made eight appearances in the Saudi Pro League this season.
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