The incident came as the first leg of their Champions League quarter-final on Wednesday moved into stoppage-time with United holding a 1-0 lead.
United defender Patrice Evra appeared to hook his leg around Chelsea midfielder Ramires but Spanish referee Alberto Undiano Mallenco waved play on and the Manchester club will take a 1-0 lead into the second leg next week.
"Someone said it could have been a penalty but if it was, it was the first decision we have got here in seven years, so I don't feel guilty about it at all," Ferguson told a news conference.
"From where I was it looked a 50-50, I don't know if there was contact."
Ferguson got into trouble with the FA for comments he made about the referee when United lost 2-1 to Chelsea in the Premier League at Stamford Bridge last month, earning him a five-match ban from the touchline in domestic matches.
Chelsea manager Carlo Ancelotti was more critical of the referee.
"It was a clear penalty and everyone knows it. The problem was that it came in the last minute and sometimes it's not easy for the referee to give a penalty in the last minute of the game," Ancelotti said.
"You need to have personality, courage and so on, and not always do referees in general have these kind of skills.
"I'm disappointed, this is the result, it's past, if you ask me for my opinion I will give it. It wasn't just the referee but the linesman - he was in the right position to see if it was a penalty.
"I told the referee afterwards it was a penalty and he should have whistled. He didn't say anything back to me."
Evra said United had had a lot of bad decisions against Chelsea in recent years.
"I did not fear the worst, I tried to go for the ball, but I touched the ball and the player as well and I was not scared he was going to give a penalty," the French full-back said.
