Emery was appointed at Villarreal last week to replace Javi Calleja after the club confirmed their qualification for the Europa League next season, having fallen one place short of the top four in La Liga.
The Basque is most famed for his success with Sevilla in the Europa League – helping the Andalusian club to three successive titles between 2013 and 2016.
“A few years back I spoke to Ferguson at a coaching convention, and he was of course used to competing in the Champions League,” Emery told reporters, in quotes carried by Marca.
“I explained to him how much the Europa League had helped me grow and develop as a coach, but Ferguson replied: ‘Sure, but would you not rather be in the Champions League?’
“And I agreed that would be preferable, but the Europa League is another fantastic opportunity for coaches and for clubs, especially those who are not able to compete with those at an elite level for titles – it is a place for them to become champions.
“The Europa League has grown a lot from the UEFA Cup and the early days of the Europa League, it is a fantastic opportunity for us.
“I have manged to win it three times and it means a lot to me, to experience those titles.
“I want to enjoy that, but as Ferguson said – I would rather be in the Champions League and that is my aim here.”
Emery also believes that he was not given enough time at Arsenal and that he believes his new club will provide him the stability and assurance to build a project.
Emery was sacked from his position in North London last November following a prolonged run of bad form, despite taking the Gunners to last season’s Europa League final.
“This is a club that provides stability,” he added. “Beyond results is work. I spent four years in Valencia and four in Seville. There has been stability, consistency and results. My idea is the same knowing that football has their circumstances, but I believe in my work.”
The Spanish boss has accumulated ten trophies in five years and has played in six European finals and he has coached in more than 600 games across La Liga, Ligue 1 and the Premier League.