The Spanish goalkeeper will return to the United starting XI for Wednesday's game with West Ham United at Old Trafford, having missed three games after an operation to remove wisdom teeth.
"I am at a huge club and there are big demands on you," De Gea told United Review.
"As a goalkeeper I am 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 U21 team.
"It's a challenge that's enjoyable and it ensures you're always striving to operate at 100%."