The now-pundit and England coach spent his entire career with the Red Devils, making over 600 appearances in the process.
Having had 24 hours to reflect on the incident, Neville has told De Gea that he needs to learn fast.
"It is unforgiving that dressing room. The idea that afterwards they are saying 'unlucky mate, let's go and have a drink' - it is not that place. Anybody is misguided if they believe that has happened," he told Sky Sports News.
"You play at that club, in that dressing room and under that manager - it is not a case of destroying the confidence - it's about learning fast. He is learning in a very unforgiving environment where he is judged continuously at the highest level."