Menez recently moved to Milan, following previous stints at Paris Saint-Germain and Roma, with the France international suggesting that he instead wanted to figure out his own path when United came calling.
"Saying no to Ferguson wasn't easy, but I was still young and I had to follow my own path," said Menez, according to the Daily Express.
"Then when [Vincenzo] Montella came to Roma, it became difficult. Before he came, I was playing all the time, but he had different ideas.
"After an operation, I came back and scored, but nothing changed. I accepted his decision, even if it was hard. It was a difficult year, but it helped me grow."
Milan currently find themselves in top spot in the Serie A table, following two wins from two games.