The Mirror says on the weekend he visited the Manor House Inn in Ditcheat, Somerset, during an open day at nearby Manor Farm stables where Sir Alex's pal Paul Nicholls trains some of his horses.
Nicholls and Fergie were among trainers, owners and racing fans at the pub and a source said: "Sir Alex was asked about the revelations that morning and gave a typically honest answer. He is incredibly loyal to his team but couldn't ignore what was alleged to have gone on.
"He said nothing now surprises him when it comes to what footballers get up to but he was disappointed.
"He wants the club to fine Rooney but said it could be powerless as he's not technically broken any rules."