The last time the Red Devils won the famous old trophy was when they beat Millwall in 2004.
Fergie said: "The Champions League, without doubt, is the bigger challenge. You have all the big clubs in there.
"Let's be honest, would you rather be at West Ham or Real Madrid? It's a fact of life."
Even so, Ferguson remains a big fan of the FA Cup and is baffled at how United keep getting the rough end of the deal.
He said: "The FA Cup is still the best domestic cup in the world.
"It still holds the romance about it when you are waiting for the draw.
"I don't think it is as exciting as when you used to sit around a radio on a Monday morning.
"We are the hot ball at the moment. Everybody wants us in the third round and the sponsors are delighted.
"You hope to get a home draw but over the last two or three years we have had some hard games, though."