Ferguson, 71, confirmed on Wednesday that he would be bringing an end to his 27-year spell at Old Trafford later this month.
Neville, who spent his entire professional career with United until his retirement in 2011, believes that his former boss stands alone at the summit of the game.
"I can speak in three different guises really," he told Sky Sports News. "As a fan, I'm sad and I'm gutted because it's a day that no Manchester United fan ever wanted to come.
"As a player, I think I'm grateful and feel privileged to have worked with the greatest manager of all time. And I suppose [as a pundit], from our side of things, things become a little less interesting because we've lost an incredible character, somebody who always played magnificent football."
Current Everton manager David Moyes has emerged as the strong favourite to replace Ferguson at the end of the season.