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Protests and riots have spread across the United States, with demonstrations also taking place around the world, following the death of George Floyd in Minneapolis.
Floyd died in police custody last week after an officer kneeled on his neck as he lay on the ground handcuffed, sparking outrage across the globe.
Dortmund star Sancho showed support for those protesting against racially driven police brutality by revealing a 'Justice for George Floyd' message on a T-shirt after scoring against Paderborn on Sunday.
Elsewhere in the Bundesliga, Borussia Monchengladbach star Marcus Thuram took a knee after his goal against Union Berlin on the same day, and Schalke's United States international Weston McKennie wore a 'Justice for George Floyd' armband on Saturday.
Sancho was booked for removing his Dortmund shirt to display the message and the German Football Association (DFB) said it would examine the actions of the trio.
Heskey believes England international Sancho was right to use his platform to show support for the cause.
"Sports have a platform that is viewed by billions of people so it definitely has a say on what people think and how you put things out there," Heskey told Stats Perform News.
"It's very important that if they have a view on it, then why not? You look at Jadon Sancho who got booked for it as well. He felt it was right for him to put it out there because this is something that sits very close to his heart.
"He's a young black footballer who grew up in London. These are the certain things that he could have come up against growing up.
"I think football, sports in general, it has a platform so why not? I don't think they're doing anything wrong with supporting what's going on. He's not condoning violence or anything like that, so I think it's great."
This season has seen a significant number of racist incidents in football, but Heskey believes the problem first needs to be tackled in society as a whole.
He said: "I think until we in society get things right, football isn't going to change because it's just a mirror image of society.
"It's a lot better in a sense [that] what I had, you could be walking down the street, not bothering anyone and you could be racially abused. I don't think it's as bad as it was back then, but we're seeing it again online, people doing certain things, not just racism, sexism as well.
"These are things [that] have been going on for years. Will they get better? We hope. We can only pray that it will get better. It's not just a football problem or sport problem. This is a societal problem. We've got to attack it there and hope that it gets better and spreads everywhere else.
"At the end of the day the peaceful protests in and around London, Manchester as well, were great. It's highlighting the issues. I don't think they're just protesting to protest, they're highlighting issues.
"So let's address those issues, let's talk about them. Let's deal with them because it's happening time and time again. That's all they want, they're not asking for anything else. Let's just deal with this first, let's stop it happening."
Emile Heskey's book Even Heskey Scored has been shortlisted for Autobiography of the Year at the 2020 Telegraph Sports Book Awards.