Beckham was given a standing ovation after United’s 4-0 win over his AC Milan.
He told Sky Sports: “It is always disappointing when you lose games, especially when they are as important as this, but we’ve come up against a great United side tonight.
“The thing that I will take is the reception I got from the fans, it was unbelievable.
“It meant a lot (coming back here). It’s definitely up there as one of my best nights, obviously without the result. The atmosphere, the occasion and everything that the fans gave to me tonight was unbelievable.
“I hope they go all the way again. They deserve to, it is a great club, a great fan base and a great manager. They deserve to go all the way.”