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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Since Guus Hiddink arrived at the helm, Chelsea have improved considerably after a tricky start to the campaign.
Newcastle United are staring down the barrel of relegation to the Championship for the second time in the past eight years.