A visibly angry Fergie said the incident was “embarrassing”.
Former Manchester United star Anderson, 56, became England’s first black international when he played against Czechoslovakia in 1978.
Despite suffering awful racial discrimination himself, he said: “I don’t agree with Rio.
“You can see the manager was fuming and clearly he didn’t know anything about it.
“He expects his senior boys to set an example.
“He’s the manager. If he says we are all doing it together, it should be the end of the story.
“But Rio has gone the other way.
“I don’t see where he is coming from and I don’t know what it is going to achieve.
“But UEFA should be more stringent. Some of the fines are bordering on being pathetic.”