The Dane was impressive in the 1-1 Champions League draw.
"It was very amusing, great fun and that's the most important part of why you play football - fun," he told ITV1.
"I enjoyed it very much, it was a great night. It's a great stadium to play at, a very loud audience and also I could hear our own fans which was nice. This is why I came to United, to play these kind of games.
"There's always a bit of nerves and if there isn't then it's not that enjoyable. It makes me feel alive. I'm satisfied with my performance, just a bit sad that I didn't save the first goal."
Asked about challenging for the first-team spot, Lindegaard said: "What answer do you expect to that question? I've said a thousand times before I'm not here to pick my nose."