Update 15/03/2021
According to Apple, Ruby won’t be included anymore in future versions of the system, so using a Ruby version manager will be the only way to go once this will actually happen.
Original answer
After hours and hours of trial and errors I wanted to go deeper into the reasons of this error and I finally found this that I think is the clean way to go around this issue:
Catalina (NdMe: I think this started earlier, on Mojave) no longer supports including macOS headers in command line
tools, they have to be explicitly used through Xcode SDK. You can do
so by runninggemthrough thexcruntool like:
xcrun gem install <your_gem>
Quoted from a Github issue comment.