On a forum in Spanish I found the same problem with an answer saying:
go to Menu > System > Preferences > Keyboard > Layouts there you choose your keyboard and your layout and other options such as using the AltGr, then you hit Apply System Wide.
In Xfce I could not replicate the exact steps, but what I did was:
Under Menu > Settings > Keyboard (that is
xfce4-keyboard-settings), under the Layout tab, I unchecked Use system defaults, selected the keyboard layout, and then set Alt Gr under Compose key.
After a while, even without logging out, this solution stopped working, so I looked at the Keyboard Layouts properties (the Xfce panel keyboard applet,
xfce4-xkb-plugin) and made the same setting there. Now it works even if the previous setting (in
xfce4-keyboard-settings) is removed.
The two settings seem independent, but the one that prevails in Xfce is that of the xfce4 panel applet. (The same is true for switching layouts: Alt-Shift was set and working for a long time in the
xfce4-xkb-plugin while in
xfce4-keyboard-settings this setting was absent. -- I leave the first part of the answer for reference and for possible use in other desktop environments.)
(In Xfce and LXDE, there are cases where different apps are not completely integrated under a unified design, they handle the same or similar features, and it is not always clear if there is possible conflict or whether one prevails. Trial and error is the way here, starting by avoiding conflicting settings.)
On the subject of the two Xfce applications handling the same features, see this question.