The retired Brazilian right-back revealed last year he was close to signing for United in 2005 before Roberto Carlos' intervention.
Recalling the saga on Instagram, Cicinho, 42, jokingly apologised to Ferguson, but admitted he couldn't turn down the chance to be a part of Madrid's star-studded line up.
He wrote: "Sorry, Sir Alex Ferguson, but in 2005 @officialrc3 (Roberto Carlos) called Cicinho and in the moment I had to answer.
"He asked me if I wanted to come and play with him for the Galacticos.
"It was almost all right for me to go to Manchester United, but how could I say no to the chance to be friends with Ronaldo, Roberto Carlos, (Zinedine) Zidane, (Luis) Figo, (David) Beckham, Robinho, Raul, Julio Baptista, (Iker) Casillas, Sergio Ramos and so on?"