The ex-defender spent his entire playing career working under the Scot at Old Trafford in a 19-year stint steeped in glory.
And the 38-year-old feels that much of his own personal achievements can be attributed to his close relationship with Sir Alex, with news of his impending retirement upsetting him as a supporter.
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"As a player, I think I'm grateful and feel privileged to have worked with the greatest manager of all time. And I suppose, from here [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."
As well as his own respect for Sir Alex's talent, Neville believes that the 71-year-old's tenure is something for which all quarters of British football should be thankful.
"That's the first thing we should remember; that every single game that Manchester United played in is a good game to watch, exciting, so I think it's just a loss all round," he added.
The former defender also revealed that, once the rumours of Sir Alex's departure began to gain traction, he knew to expect an announcement after the club failed to distance itself from the speculation.
"I was shocked; the rumour mill started I think [on Tuesday] afternoon and obviously gathered pace," he recalled, "and you know when Manchester United don't squash a rumour, don't nip it in the bud, you know there's something in it."