The Republic of Ireland midfielder's career at the Red Devils came to an abrupt end in 2005 following a disagreement with then-manager Sir Alex Ferguson.
He told reporters: "Towards the end, I wish, probably, that I'd gone abroad. Whether that was when my contract was up at United a couple of times or if I'd known what was going to happen towards the end.
"If I knew the way they were going to treat me, I would have ventured abroad. I had opportunities to go and play, whether it would have been Bayern Munich, Juventus or Real Madrid."
Keane has admitted that he is unsure whether he can forgive Ferguson for comments that the Scot made about him last year.