The Dutch striker said he and his team-mates were left dumbstruck when Fergie told them he was ending his 27-year reign as boss last month.
Van Persie, 29, said: "Sir Alex came through the dressing-room door and the first thing he said was that he was retiring.
"I had to gasp for breath and I shook my head. Had he really said what I thought he'd said?
"The room fell deathly quiet and then everyone became emotional.
"Sir Alex then had a long talk with the squad. I found it a very special speech and felt privileged to have witnessed it.
"It was an historical moment for football, even though I was not happy to hear his message."