Ferguson sold the Dutchman to Lazio in a move viewed by many United fans as one of his few errors during more than two decades in charge at Old Trafford.
Six years later, 35-year-old Stam is still performing to a high standard for Ajax after returning to his homeland from Italy in 2006.
"It is good that a man like Ferguson dares to admit that he makes mistakes," Stam told AD Sportwereld. "It doesn't surprise me, though. I always knew for myself that United made an error by selling me.
"I know that this is the same feeling for many people around the club, from colleagues to fans.
"When I speak with people I hear they should never have let me go."
In response, Stam conceded that Ferguson's honesty must be applauded.
He said: "A big coach must also be able to see the mistakes he made - if needed, a few years after he made them."
The former Holland international's exit from Old Trafford in August 2001 came shortly after his autobiography was published amid controversy.
He claimed that Ferguson had illegally tapped him up before buying him from PSV Eindhoven and revealed blunt insights from the United dressing room.
Many assumed his book was the reason behind his departure, a take on events that Stam is happy to subscribe to.
"Until that transfer I learned to know Ferguson as a man who thinks along fixed lines, who always handles interests of the club," Stam said. "In the weeks surrounding my departure the relationship became difficult.
"My biography played a role for sure, because the club needed to sell it to the fans that I could leave Manchester United.
"That book became the stick to hit me with, you could say."