Henderson joined Saudi Arabia side Al-Ettifaq in the summer on what was reported as a £700,000-per-week contract, reuniting with fellow former Reds skipper Steven Gerrard in the Middle East.
However, after going winless in two months, doing so in front of sparse crowds in the relentless Arabian heat, Henderson already wants out.
Ettifaq are unwilling to sell but are open to a loan move, which would all but definitely force the England midfielder to take a mammoth pay cut.
Speaking on Sky Sports, Merson isn't surprised in the slightest that things haven't worked out for Henderson.
He said: "That's why he went [money], so it has worked out in a way. Why would it work?
"He is playing in front of 2,000 people. The reason you are going over there is for the money. Money helps you, but it won't make you happy.
"When you're playing at one of the best stadiums in the world, Anfield, every other week... people don't look at this. He loves football and is a football man.
"There is a difference between playing in front of 40,000 or 50,000 and 2,000 or 3,000."
According to the Mirror, Henderson is closing in on a move to Ajax, with the Dutch giants prepared to offer the midfielder a way out of Saudi Arabia as they themselves look to emerge from a nightmare season.
However, they will have to fend off new interest from Juventus, with Gazzetta dello Sport saying that Henderson has jumped to the top of the Old Lady's wish list.
Any permanent move away will leave Liverpool with a sizeable cash windfall, with Henderson's Ettifaq contract having a sell-on clause.