"Michael's been fantastic this season and, for me, he's been one of Man United's best players. Apart from Ronaldo, he's been their player of the year.
"I speak to a lot of people up there and he probably doesn't get the credit he deserves."
The four former Hammers have remained close friends and after Wednesday night will meet up again with the England squad next weekend.
Cole revealed they have already made a pact not to talk about what happens in Moscow as it will be too raw for the losers.
He said: "The United lads know I love 'em - but Wednesday night will be a war!
"But whoever wins, wins and it's difficult because you can't have banter about it because we meet up with England two days later and you have to be dignified in defeat.
"You can't go running round with a Champions League winner's medal round your neck at the England team hotel, either.
"We've had a little word about it and promised we wouldn't."