The Spaniard has been rotated alongside Anders Lindegaard during the season as Sir Alex Ferguson searches for his No.1 but De Gea believes that competition is healthy at the club.
"I'm at a huge club and there are big demands on you," David told the club's official website.
"As a goalkeeper I'm well aware that any mistake can be magnified by the press and the fans. That's always the case for goalkeepers, no matter where you play.
"But it's true that here at Manchester United there's added pressure. It's bigger than it was for me at Atletico Madrid and also for the Spain Under-21 team. It's a challenge that's enjoyable and it ensures you're always striving to operate at 100 per cent."
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He added: "I have been surprised. Certainly, when I was in Spain I'd heard about this aspect and seen for myself on TV the way the team always seemed to conjure up a late goal to either draw or win matches. So it's great to be a part of it myself.
"I think dramatic comebacks are part of the heart and soul of this club and it’s almost written in the history of Manchester United that these sorts of things happen so often. I love being a part of it and experiencing it for myself."