The 22-year-old Spanish youth international made a string of saves to keep United in the game as they held out for a 1-1 draw in their last 16 first leg at the Bernabeu.
"It's a difficult place to come to, Real's home record is outstanding," Ferguson said.
"I was a bit disappointed with how deep we defended which gave Real a lot of opportunities for crosses and shots.
"Luckily David De Gea was excellent. He made three or four really top saves in the game."
De Gea has come in for criticism, since moving to Old Trafford from Atletico Madrid for around 20 million euros in 2011, with his slight build cited as a weakness in the hurly-burly of the Premier League.
Ferguson has stood by him, however, and he made superb blocks from Fabio Coentrao twice, the second with an outstretched boot, and another from Mesut Ozil in a one-on-one.
"He has been improving all season," Ferguson said.
"There was one save, I think it was in the first half when he got a touch of the ball that put it on the outside of the post. It was an absolutely superb save."
"It's a difficult place to come back to and to perform like that. He played for Atletico, so he'll be pleased with that."
Team-mate Ryan Giggs added: "It's good for him to come back to Madrid and put in such a good performance. He is a top keeper and his shot stopping is second to none.
"He is maturing all the time and he has showed that tonight. He has come to Madrid with a lot of pressure on him, being from Atletico, and he has produced the goods."
Looking ahead to the return leg at Old Trafford on March 5, Ferguson added:
"We made chances all the time, and hopefully we don't regret that," he said.
"The away goal is important but it's not finished, of course, because Real Madrid are a fantastic counter-attacking team.
"It gives us a good chance. I look forward to it."