The former Red Devils skipper recalled how he never wanted to let the Scot down and admitted that it would be sad to see his former boss leave the game
Speaking on ITV, the 41-year-old said that the retirement of his former manager did not surprise him, but conceded that it was "always sad to see a great manager leave the game."
"I wasn't as shocked as everyone else," Keane admitted. "At 71 he had great success and there are such demands in the game now.
"I was disappointed, of course. It's always sad to see a great manager leave the game."
Ferguson signed Keane from Nottingham Forest in 1993 for what was then a record transfer fee and later appointed the Irishman as club captain at Old Trafford in 1997.
The former Republic of Ireland international explained that he had "massive respect" for Ferguson's achievements as a manager and said that he felt "lucky" to have played under him, stressing that the team never wanted to disappoint the Scot.
"I have massive respect for what he's done as a manager," added Keane. "I was lucky to play under him and privileged to play for the club. He'll be a big loss."
He continued: "I always felt when I played under him, we just never wanted to let him down. That's what great managers do.
"Sometimes after big games it wasn't the 'hairdryer' that worried me - it was when he was quiet. We worried we'd let the man down. The 'hairdryer' never concerned me - he was just releasing a bit of anger, which we all do."
However, despite praising the Scot's managerial ability and achievements, Keane noted that the United boss had made "a few mistakes" with him.
"He'd have a feel for what a certain player might need. I always felt he got that spot on. He had a feel for the group and what certain characters might need.
"He made a few mistakes, particularly with me towards the end, but he will still be missed," concluded Keane.