The capital club have fallen 16 points behind rivals Barcelona in the race for the La Liga title having recently slipped up at Granada.
The two sides meet in the last 16 of the competition, and Ferguson knows that Los Blancos will give it their all to win the tournament.
"I think their target is the European Cup," said Ferguson. "They got a bad start in the league and were chasing their tail a bit because Barcelona's form has been incredible. I think Jose has set his targets firmly on the European Cup, no doubt about that.
"It can be harder for us but there's a bit of pressure for them too. At this moment in time we're involved in three things. Jose has still got the semi-final of the Copa del Rey, they play Barca next week and then again in a league game before we play them on the Tuesday at Old Trafford. So they've got a big programme themselves.
"You look at English football and say it's a very, very difficult programme and every game is hard but you look at Madrid's programme at the moment and it's also very difficult. Every game is hard."
Madrid host United at the Santiago Bernabeu on Wednesday.