Van Persie has justified Fergie's decision to pay Arsenal £24million for a 29-year-old with an incredible burst of goals.
He has already hit the target 23 times for United. But he is haunted by the goal that got away in the final minutes of Wednesday night's 1-1 draw with Real.
Van Persie said: "That second chance I had, just after I hit the bar, that should have gone in. I mis-hit the ball. I wanted to hit it hard, but I just couldn't produce the power.
"We won't sit back against Madrid in the second leg - that isn't in United's DNA.
"Hopefully we can go further in the Champions League and test ourselves against some more top teams in Europe.
"But first we must focus on getting beyond Madrid. The manager says that is an acid test for us and he is right."
He added: "The way this season is going, it feels like it could be very, very special.
"I am playing in games that are the greatest you can play in.
"The manager said: 'Don't play the occasion, play the game'. I think we did that."