Harry Redknapp is the favourite for the post and a number of managers have voiced their support for his candidacy.
“You can’t believe [I’ve been sent a letter], can you?” said Ferguson.
Asked why he had received the warning, he said: “I’ve absolutely no idea. I’m not supposed to discuss it.”
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The reputation of the Premier League means it is the most popular and one of the most watched leagues in the world.
Five English clubs will compete in the last sixteen of the Champions League for the first time ever as Liverpool, Manchester United, Manchester City, Chelsea and Tottenham face some difficult away matches.