Ferdinand says Ferguson delivered a message to his crestfallen group of players immediately after the Black Cats clash.
He said: "The manager just said, especially to the young players in the dressing-room, to take on board what had just happened and learn from it.
"I remember when I first came to United and we lost the League Cup final to Liverpool. It was my first-ever final and the game just kind of passed me by because it can go that quick.
"If you don't grasp the moment with both hands, there will be other similar opportunities that go amiss.
"So all through my career I've thought 'That can't happen again' and, when you get those big games, you've got to make sure you're ready and push yourself and your team-mates on as well."