Arsenal star Henry won the Premier League Golden Boot in four of the five seasons Van Nistlerooy was at Old Trafford.
And despite winning titles with United, the prolificacy of Henry severely annoyed the Dutchman.
"You've had all these rivalries over the years, great players need great rivalries. They need rivalries. They should be looking at each other,' said Ferdinand.
"Ruud van Nistelrooy used to come in the changing room after a game, trust me, we're trying to win the league, we've beat someone 3-1 or 4-1, he's scored one goal, he'll come in and look up to the TV [shake his head] and go 'ohh'.
"He sits down, [we ask] 'Ruud, are you alright, what's wrong?'. And he'll reply, 'nothing, nothing'.
"Then someone will go, 'Thierry has scored two today, Ruud has only scored one, so he's a goal behind now.
"And he's sitting there devastated, and you can see it. 'I used to sit there and this this guy is mad, we just won 3-1, he's scored a banger, set someone up as well, and he's disappointed."