Cardiff host the champions later today.
"My adviser had a conversation with United in 2010, shortly before I came to Cardiff on loan," he told the Daily Mirror.
"It was great to feel wanted, and I would have loved to do it, but it was never going to be allowed.
"After Carlos Tevez had moved the opposite direction the year before, I didn't expect anything to come of it."
Bellamy admits the history of Sir Alex Ferguson tracking him down stretched back much further, but while being flattered by the approach, the Welshman was content to remain at St James' Park.
"Actually, there was a link with Sir Alex as far back as 2002, when my representatives went to see him at United's training ground, with a view to a move going ahead," he added.
"But Newcastle had just qualified for the Champions League, I loved playing for Sir Bobby Robson and had just been offered a new contract there.
"To be honest, I used an inquiry from United to hold out for a better deal."
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