Van Nistelrooy was named Leicester manager on Saturday just days after being told by new United boss Ruben Amorim there was no place for him on his staff.
"The moment I took over the interim job what I said was I'm here to help United and to stay to help United, and I meant it. So I was disappointed, very much so, and it hurt I had to leave," he said.
"In the end I got my head round it because I also understand the new manager. I'm in football long enough and I've managed myself. I understand.
"I spoke to Ruben about it, fair enough to him, the conversation was grateful, man to man, person to person, manager to manager. That helped a lot to move on and straightaway get into talks with new possibilities which of course lifted my spirits."
On his move to Leicester, Van Nistelrooy admits he checked on the characters he was inheriting.
"It's the only way you can work," the Dutchman said. "It's mutual respect. I also mentioned to the players yesterday that I looked at the squad and started to make phone calls about players, because in football everyone knows everyone.
"With two or three phone calls you hear stories about 20 players and for me it was important that you hear there are good characters there. That's important, that there are good people there.
"I look at the players and how they play. I obviously don't know them but I got general information... that they are a good bunch of people."
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