The former Red Devils striker went unbeaten during a four-game interim spell at Old Trafford following the sacking of Erik ten Hag and was saddened not to continue under new manager Ruben Amorim, although he can understand the Portuguese coach's decision to work with his own backroom staff.
Van Nistelrooy - who has now taken over as manager of Leicester - said: "I was disappointed, yeah, very much so, and it hurt that I had to leave.
"The only job I would take as an assistant was at United because of the bond that I have with the people in the club and the fans. But in the end I got my head round it because I also understand the new manager.
"I spoke to Ruben Amorim about it, the conversation was grateful, man to man, manager to manager, and that helped a lot to move on and straightaway get into talks with new possibilities which lifted my spirits."
Van Nistelrooy has been tasked with keeping Leicester in the Premier League and admits that he was "astonished" at the level of interest in his services following his short spell at United.
The Dutch coach said: "I have to say there were offers there and possibilities. It's good to have them and look and be critical on where you're going to work.
"What happened after the games and the amount of interest, the options that all of a sudden were there for me and the options that came along, I was a little bit astonished.
"I went into conversations with Leicester because I thought, having spoken to other people, it was a great opportunity to get to know each other.
"It was a good feeling and in the end both parties felt it. That was a good reason to start working together."