Van Nistelrooy joked that he should be given a warm welcome by the fans at the stadium.
The PSV coach will return to his alma mater on Thursday when he leads his team against the club.
He scored 150 goals in five seasons at Manchester United.
It is a missed opportunity that he is most famous for.
Martin Keown was one of five players who were reprimanded and fined for their part in the melee that followed his last minute penalty miss.
The FA fined Keown and banned him for three games for celebrating the miss.
The miss in the sixth game of the season allowed them to reach the end of the season with no defeats.
He said he expected a warm reception. I kept them out of harms way because of my missed shot.
Van Nistelrooy knows it will not happen when his team takes on the team in the rearranged game.
He doesn't mind the abuse. Even if that particular episode hurt at the time, he happily embraces it.
He says that match and the 'Pizzagate' October 2004 league meeting at Old Manchester are the two he is most remembered for.
He said that he didn't react to what happened after the miss because he was so disappointed.
It's possible that the game will be decided in those games because both teams are competing for the title.
20 years ago. It doesn't define me but when I come back to England and to the place where I spent my formative years, there are some memories that come to mind.
It is nice to look back and have a laugh. My time in England was five years. I won a lot of titles with United. The two games were part of a famous period when Sir Alex Ferguson worked.
I don't think I'll get a good reception, but that's good. It is a part of the banter.
He is doing well in his first season as a coach.
After the disappointment of losing to Rangers in the play-offs, the club have secured seven points from their first three games in the Europa League, and will be hoping for a positive result against the Gunners in their next game.
It's not clear whether Gakpo is still with them at that time.
Mikel Arteta refused to talk about the interest in the Dutch international, despite the fact that he has been linked with a number of premier league clubs.
Van Nistelrooy said that it was not only the premier league clubs after him.
Over the last three or four months, he has been exceptional. The attention of big clubs in European football is drawn to his statistics.
He is focused on his career with us at club level and having a good World Cup. He would like to continue that.
He's going to make decisions when the time is right.
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