The Uruguayan was linked with United whilst he was starring for Italian side Palermo.
Asked by MUTV if he was aware of interest and would you have come had a bid materialised, Cavani replied: "(Smiles) Just imagine it! I can't remember exactly what happened.
"I do remember there was talk about one or two different teams – but hey, if I'd had that opportunity, I would have taken it, of course I would, without giving it a second thought.
"I don't remember definitively if that was the case. But what I do remember is that I was due to travel to the World Cup in South Africa, and during that tournament, I had a conversation with Napoli.