The goalkeeper left the club in the summer of 19991 after captaining the Treble-winning side’s victory in the Champions League final.
The Dane claims his mental and physical exhaustion caused him to end his eight-year association with the Red Devils, but he admits he “regrets” the manner of his exit.
“It’s over 20 years ago now and during that period of time you go through a lot of phases,” he explained.
“First of all I went through retirement from football, then it was nice not to go in for a while and before you know you start to miss it all a bit.
“As you become further and further away from football your thinking process becomes better.
“I could have possibly played on for many more years [at Manchester United] had I cut back a little bit on the pride and spoken to the manager about it – but I didn’t.”
He continued: “I was too proud of my position at the club.
“When you get to your mid 50s you look back and have a better understanding of things.
“That was a young man’s head making that decision, I admit I probably should of held out. It’s not a regret as such, but it is a regret at the same time if you get what I mean.
“I loved the football club so much, why would I want to leave? But I was so worn out at the time so it would have taken something very extraordinary for me to change my mind.
“I was constantly in action, so whenever I wasn’t playing in Championships for Denmark I was having surgery.
“I was never not surrounded by football or rehab. Mentally it was just wearing me down at the time.
“I nearly regretted it [the decision] after the final and then I’m thinking ’no, I’ve got to stick with my instinct.’
“It is what it is. If you ever have to end your Manchester United career I don’t think that’s a bad game to finish off.”