The Red Devils were held to a goalless draw at Stamford Bridge as neither side created any real clear cut goalscoring opportunities.
But United almost had a golden opportunity to take the lead as the ball appeared to strike the hand of Callum Hudson-Odoi in just the 15th minute.
The incident was reviewed by VAR after furious protests from both sets of players, but referee Stuart Attwell opted not to award to spot-kick.
The call left the United camp furious at full-time, and Red Devils legend Ferdinand has joined their insistence that a penalty should have been awarded.
He told the Vibe with FIVE podcast: “We should have had a penalty. I don’t know what’s going on with these rules, referees and stuff like that.
“I don’t know how you go to the screen and look at the screen and not give the penalty. It doesn’t make sense.
“I saw it the first time in real time and shouted “Penalty!” in my front room. How he’s not seeing it and giving it and the people at Stockley Park aren’t going give that penalty now.
“There’s nothing they can tell me that will change my mind that it should be a penalty. It’s a disgrace.”
United left-back Luke Shaw claimed after the match that the referee had told skipper Harry Maguire that VAR had given a penalty.
“At the time, I saw a handball,” he said. “I didn’t know whether it was Mason or Callum. I just carried on. I didn’t even know there was a potential check.
“I don’t know why they stopped [the game] if it wasn’t going to be a pen. The ref even said to H (Harry Maguire), I heard him that ‘if I say it is a pen, then it is going to cause a lot of talk about it after’, so I don’t know what happened there.
It has been a hectic season so far – so make sure you don’t miss a single thing by signing up for the brilliant new Mirror Football newsletter!
All the latest transfer news and big stories will land straight into your inbox. You won’t miss out.
To sign up, put your email at the top of this article or follow the instructions on this link.
“H said that they got told it was a pen. He got told it was a penalty by VAR so I’m not sure what’s gone on.
“I don’t understand why he’s stopped. If he’s going to stop, you would think maybe he is going to give a pen, because we had the ball. We were attacking.
“It’s confusing with this VAR, because if it’s not going to be a pen, they might as well carry on, not stop the flow of the game. But I’m not going to moan about it, because I don’t think either team did enough to win.”