The Liverpool midfielder has been reportedly offered a whopping £700,000-a-week to make the move to Al Ettifaq.
Steven Gerrard was appointed as manager recently and he wants to reunite with his old Anfield pal, who took his armband in 2015.
And the Saudi club appear to be prepared to do anything to abide by his wishes, with reports stating that Henderson could earn a staggering £700,000-a-week, roughly four times his current pay packet.
But talkSPORT pundit and former Liverpool winger Pennant has been left in disbelief over the offer, insisting he cannot understand why such hefty wages have been proposed to Henderson.
Speaking to Andy Goldstein on Drive, Pennant said: "It is crazy and I don't know what they see in him.
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"It is Jordan Henderson, it is not like they are trying to prise Lionel Messi away. It is just Jordan Henderson.
Goldstein replied: "He has been a good captain for Liverpool but I don't think he is a game-changer.
"His assists and goals, the numbers are very low.
"You can't argue with what he has done with Liverpool. He has been their captain, their leader, I get all that."
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Pennant replied: "See you say that but you tell me a game that Jordan Henderson has been a standout player, or done something that has stood out, I can't.
"Okay, he was there but I can't think of a game where I've thought, 'oh yeah, this is why we've signed Jordan Henderson'".
Messi was offered big wages to make the move to Saudi Arabia that would have been worth £434m (€500m) a year, roughly £8.3m a week.
Henderson would not be the first player to make the switch to Saudi Arabia this summer should he accept the proposal with Karim Benzema, N'Golo Kante, Ruben Neves and ex-Reds teammate Roberto Firmino just some to travel over the to the Gulf State.
It is part of the government's initiative to boost the Saudi Pro League and make it one of the biggest leagues in the world.
Al Nassr, Al Ittihad, Al Hilal and Al Ahli have all been acquired by the nation's sovereign wealth Public Investment Fund, which also owns Newcastle.
But Henderson has already received backlash from LGBTQ+ fan groups in England over a prospective move to Saudi Arabia.
The 33-year-old has been a close ally to the movement for years but he has been criticised over a potential transfer.
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"Kop Outs have valued the allyship shown by @JHenderson," the group tweeted.
"We are appalled and concerned that anyone might consider working for a #sportswashing operation for a regime where women & LGBT+ people are oppressed & that regularly tops the world death sentence table?"