The Swede was discussing his move to Everton in Inside United.
"I said sorry to Sir Alex because I felt like I'd let him down and he just said: 'Jesper, don't worry. This is the nature of football. You helped us to win the Treble and we're very grateful for that.'
"Those words lifted a stone from my heart - I'd not played for two years and I felt guilty for taking up the club's time and money. But he helped me realise I didn't have to feel bad.
"I think that says a lot about him. The reason he's such a great manager is because of the way he treats people. Sometimes people forget there's a person behind his tough persona."