Humectants or hygroscopic substances or hydrophilic substances attract and retain moisture from the air. They are often used in hair products to keep hair moisturised.
Glycerine is a particularly strong humectant; when the weather is very dry such that there isn't enough water in the general environment, glycerin can compensate for this by actually taking much needed moisture out of your hair and therefore drying it out!
I have failed to find any reference suggesting that other humectants dry hair out if the hair is the only source of moisture. That said, if it is very dry outside in winter or summer I would use humectants much more sparingly!
Overall, I am going to deduce that this feature of drying hair out may be unique to glycerine because if you left a jar of honey open, it would not become dilute where as a key characteristic of glycerine is that if left in an open unsealed jar or container it would continue too attract water molecules until it contained 20% water!
That said, note that different types of hair respond differently to the application of humectants. Read the following chain on longhaircommunity.com for other opinons:
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By Heather Katsonga-Woodward