Keane left Old Trafford for Celtic after winning seven Premier League titles, four FA Cups and the 1999 Champions League.
He told the Daily Star: "No. I was not surprised when Sir Alex Ferguson announced his retirement. I wasn't as shocked as everyone else.
"At 71, he'd had great success and there are such demands in the game now.
"I was disappointed, of course. I have massive respect for what he's done and was lucky enough to play under him. He'll be a big loss."