James has made 37 appearances for United since his summer switch from Swansea City and admitted he didn't believe reported interest from United was genuine at first.
Asked for his reaction to United chasing his signature, he told NBC Sports: "I can't remember the exact place I was but I know it was a time near the end of the season.
"It was only talk at the start so I didn't really believe it to be honest.
"I still don't believe it now!
"It was a mad time - I was enjoying my time at Swansea, we had a good end to the season and tried to push for the play off spots but we didn't end up getting them.
"To hear that Manchester United were interested was surreal for me because it was my first year in senior football.
"The year before I'd went out on loan and not played so it was just surreal and at the first moment I didn't believe it."