The United coach admits this season has been his worst at Old Trafford, with the club languishing in seventh place in the Premier League and facing a fight to qualify for Europe
Neville, 37, had only enjoyed success at Old Trafford during his 10-year playing career with the club, lifting six Premier League tites and the Champions League in 1999.
However, since joining the club's backroom staff under now-sacked manager David Moyes, Neville has seen United slip to seventh in the Premier League, having suffered nine defeats at Old Trafford.
Now with one game of the season left - against Southampton - Neville is one of few survivors from Moyes' regime, and has admitted he wishes to remain at the club through what is likely to be an eventful summer.
"I've got to say that walking around the pitch after the last game of the season against Hull City was probably the emptiest I've ever felt on the football field," he told the press.
"I took the job at United fully expecting to be walking around after the last home game of the season either challenging for a league title or parading a league title because that's what this club demands. We've got to make sure next season we are doing that.
"It's been a real difficult season. For a club that should be challenging for league titles to finish sixth or seventh is obviously not good enough. And to see a man who, for the last nine years, has put so much faith in me, giving me a platform either to play or to coach, to see him lose his job was probably one of the toughest days that I've had in football.
"[Sir Alex] Ferguson and Moyes have been the bedrock of my professional life, so to see him [Moyes] lose his job, it took a while to sink in.
"David has taken the majority of the criticism from outside the club but if you speak to anyone inside the club then we've all got to take collective responsibility - the players, the staff, everybody. It was really disappointing when David lost his job because I class him as a friend.
"My remit has been to support Ryan [Giggs] in his job and give my best for the club. But I want to be part of Man United's future. I'm a Man United person. Take the results and what's happened aside, and it's been an incredible learning experience for me this season at a club that I love. I want to be here the rest of my life. That's my hope."
United must beat Southampton and hope Tottenham drop points against Aston Villa if they are to qualify for the Europa League next season.