Bielsa had a successful spell in charge of OM before his abrupt departure in August 2015.
He told Canal+: "Having been at the Vélodrome, in this stadium full of supporters in the corners, you have to be there and live it, but live it by being an actor.
"It's one thing to go see a Clasico in the stands, it's another to be there as a coach.
"Some of their songs touched me deep in my being. For me, it was all extraordinary."