Jordan Henderson lifts the Champions League trophy after Liverpool beat Tottenham Hotspur in the 2019 final in Madrid
The 33-year-old midfielder looks set for the Saudi Pro League in a deal worth £12m plus add-ons.
Posting on his Instagram account, Henderson said: "Just know, I will always be a Red, until the day I die."
Henderson captained Liverpool to their first Premier League title in 30 years in 2020.
The England international also lifted the Champions League, FA Cup, two League Cups, Uefa Super Cup and Fifa Club World Cup during his time on Merseyside.
Henderson will link up again with ex-Liverpool captain and former team-mate Steven Gerrard, who is manager of Al-Ettifaq.
He flew out with the Liverpool squad to their training camp in Germany earlier in July, although he did not play in either of their pre-season matches after an initial offer of £12m was accepted.
The midfielder joined the Reds from Sunderland in a deal worth £20m in June 2011 and made 492 appearances for them, scoring 33 goals and registering 57 assists.
Speaking in the video filmed at Anfield, Henderson said that it was hard to leave his boyhood club more than a decade ago but "when Liverpool come knocking, you don't say no".
He added: "I can't lie, there have been hard times, really hard times. But when I look back at my career at Liverpool, it will always be the good times that I remember."
In 2020 Jordan Henderson captained Liverpool to their first Premier League title in 30 years
Henderson highlighted the Champions League final in Madrid in 2019 when they beat Tottenham to secure the club's sixth trophy in the competition as his "favourite night", and said there were "no words" to describe the support during the parade around the city.
He called the supporters "the best in the world" adding "there can be no doubt, there is no doubt".
Henderson did not address his move to Saudi Arabia in the video.
Fans have been posting messages of thanks to Henderson across social media following the release of the video, while Stonewall, the LGBTQ+ charity which organises the Rainbow Laces campaign, has thanked Henderson for his support.
However, Henderson has been criticised by some for the move to Saudi Arabia, including Liverpool's LGBT+ fans group Kop Out, who urged him to reconsider.
Fellow Reds midfielder Fabinho has also been linked with Saudi club Al-Ittihad, who made a £40m bid for the Brazilian on 15 July, but his move looks to be in jeopardy with negotiations continuing.
Jordan Henderson said he was nervous when he signed for Liverpool from Sunderland in 2011
Liverpool are preparing to travel to Singapore for two pre-season fixtures, against Leicester City on 30 July and Bayern Munich on 2 August.
Many big-name players have joined the Saudi Pro League this summer, with former Reds striker Roberto Firmino and Chelsea goalkeeper Edouard Mendy signing for Al-Ahli. Manchester City winger Riyad Mahrez has also agreed a £30m deal with the club.
Al-Ittihad, meanwhile, have signed former Real Madrid striker Karim Benzema, ex-Chelsea midfielder N'Golo Kante and Portuguese forward Jota from Celtic.
Al-Hilal have brought in Portugal midfielder Ruben Neves from Wolves and Senegal defender Kalidou Koulibaly from Chelsea.
-- Courtesy of BBC Sport