Keane played for the Red Devils between 1993 and 2005, becoming a driving force in their dominance of English football during that time, before finally leaving the club after a fallout with manager Sir Alex Ferguson.
However, the Irishman was close to leaving United on a number of occasions before that and admitted that only fear stopped him from leaving Old Trafford.
"I wouldn't say I had regrets about not going abroad but I think it would have been a nice experience to play for a different team," Keane told ITV.
"When my contract ran down on a couple of occasions, I spoke to a couple of clubs, Bayern Munich, Juventus. And yeah I was very tempted I have to say, but there was a bit of fear.
"Contracts were agreed but I just never felt strong in wanting to go for it because I was very happy at United."
Keane also expressed his belief that Ferguson's "massive ego" has had a negative effect on the club since he stepped down as manager in the summer.