Depay found the back of the net twice and set up another goal in the Champions League qualifying play-off first leg match.
However, the 21-year-old believed he could have performed even better against the Belgian outfit, saying post match: "I must admit I'm a bit disappointed because I could have scored the last two chances and got a hat-trick."
Depay's harsh assessment of his own performance pleased van Gaal, who believed it was an indication of the Dutchman's high standards.
"When you score two goals and the assist also, normally in the world you are the hero. But for a trainer-coach, it's different," the United boss said.
"He's never satisfied. I like that. You have to know what you are doing and also what you can do and then your desire to improve is higher. And that's Memphis."