The 24-year-old appeared to be on his way to Old Trafford on Monday amid reports that a release clause of around £31million had been activated in his contract.
There were suggestions three people representing United had turned up at the Spanish league's headquarters to finalise the deal - but it later transpired that the club, who had dealt directly with Athletic, knew nothing of them.
The three men, all reported by Liga officials to be qualified lawyers, spent three hours trying to sort out the deal and Sky Sports News reporter Gary Cotterill spoke with an official who confirmed they had put themselves forward as working on behalf of United.
AS journalist Javier Matallanas, who broke the 'mystery' angle, said: "The workers of the Liga called the agent of Ander Herrera. He said 'I don't know them'. The agent called Manchester United and the people there didn't know these people."
Boss David Moyes remains a fan of Herrera and may try to return for him in January, while the player returned to training on Tuesday and seemed to be in good spirits.
Club captain Carlos Gurpegui said: "His version is that he had an offer and little more. On Sunday until 5pm I was with him and yesterday we didn't talk all day. I don't know his version, he's staying.
"I cannot put myself in his situation, because I've never experienced it. I don't know what he's been thinking.
"He looks calm to me and only thinking about Athletic. He's well aware that he's staying and that he's happy, at least that's my feeling.
"The important thing is that Ander is staying here, that he's a part of the squad and that we have to take advantage of the player that he is.
"He's staying with us, which is the important thing despite all the rumours and hypothetical situations."