Ferguson's comments were made on Tuesday evening at the Citizens' Theatre in Glasgow, where he was the guest of honour at an 'An Audience With...' evening attended by family, friends and fans.
"At the time he had just come back from an achilles injury and we thought he had just lost a little bit. We got the offer from Lazio, £16.5m for a centre-back who was 29. It was an offer I couldn't refuse. But in playing terms it was a mistake. He is still playing for Ajax at a really good level," he is quoted by the Independent on Sunday.
"Gascoigne was quality. I think he was the best young player to come out of England in the last 30 years at that time."