The Red Devils tactician also dismissed any notions of a quadruple this season.
Ferguson is likely send out a weakened side to face Tottenham in Sunday's Carling Cup final, but is still confident they can win the first domestic honour of the campaign.
But the United boss still sees a clean sweep of trophies as an impossible feat because of the strain it places on his squad.
"I'd be happy to win just one thing this season and my choice would be the Champions League. That would be great for us," Ferguson said.
"It would give us back-to-back wins, plus we have only won it three times before. It would mean more than equalling Liverpool's 18 domestic titles.
Priority"We should have won the European Cup more times. We should be up there with Bayern, Ajax and Liverpool, given the history of this club.
"We should have done better some years, other years we were a bit unlucky. Those things happen in European football.
"You have to be at your best all the time because other teams are well prepared for European games."
An English team has yet to win the Premier and Champions League, FA and Carling Cups in the same season, but the late Jock Stein achieved the Scottish equivalent with Celtic in 1967.
Ferguson has amounted 40 trophies (including seven Charity Shields), but the Scot does not put himself in the same class as Stein.
IncredibleHe said: "Jock was incredible - winning the European Cup with a 14-man squad all from within a 25-mile radius. It's unbelievable. Bill Shankly summed him by saying he was immortal.
"Any manager would struggle to achieve that immortality. He was a fantastic manager, way ahead of his time.
"I was lucky because I spent a year-and-a-half working with him and I loved him."
Ferguson believes United created their own piece of history by winning the treble in 1999 but insists they will struggle to do it again.
He added: "Our club was successful and won the treble in 1999, which to me was incredible. We had a lot of luck in terms of injuries. You need to have that. At the moment we are not having that luck.
"But what we have is a fantastic adaptable squad so that whenever I throw someone in they respond to the challenge."