Ferguson said on Friday his players would wear the shirts and condemned Jason Roberts, who also refused to wear a 'Kick It Out' shirt prior to Reading's defeat at Liverpool.
Speaking to United's in-house TV channel MUTV, Ferguson said: "I am disappointed. I said yesterday that the players would be wearing it in support of the PFA and that every player should adhere to it.
"And he goes and lets us down. We will deal with it, don't worry."
Ferguson added that Ferdinand's decision to go against his instructions was "embarrassing for me".
Ferdinand was not the only Premier League player to snub the 'Kick It Out' T-shirts in protest at what is perceived to be insufficient punishments for racism and racial abuse - a situation inflamed by John Terry's four-match ban for racially abusing Anton Ferdinand.
As well as Roberts and his Reading team-mates Garath McCleary, Jobi McAnuff and Jem Karacan, Manchester City defender Joleon Lescott also notably refused to lend his support to the campaign.