The Everton left-back was the subject of several bids from the Old Trafford side during the transfer window, but the two clubs were unable to agree a fee for the 28-year-old.
The Toffees manager told Sky Sports News: "I think with Leighton I have said all along he has been a real example in how to be able to cope with the pressures of the transfer window.
"Leighton Baines has been terrific in the manner that he has always been professional, always done the right things and he has given everything that he has got.
"Clearly Leighton Baines has been an example of how a footballer should behave and in many ways it's a case that we should learn from because it's unfair to put a player in that position."
Baines scored a brace during Everton's 3-2 win over West Ham United last weekend.