Van Nistelrooy joined United from PSV Eindhoven in 2001, two years after Henry's arrival, and went on to score 150 goals in 219 games for the club.
But despite the Dutchman's remarkable goal return, Ferdinand revealed his teammate would often fume if Henry outscored him on the same matchday, regardless of a United victory.
"Ruud van Nistelrooy used to come in the changing room after a game - trust me, we're trying to win the league, we've beat someone 3-1 or 4-1, he's scored one goal, he'll come in and look up to the TV [shake his head] and go 'ohh'," Ferdinand said, as quoted by the Manchester Evening News.
"He sits down, [we'd ask] 'Ruud, are you alright, what's wrong?', and he'll reply, 'nothing, nothing'.
"Then someone will go, 'Thierry has scored two today, Ruud has only scored one, so he's a goal behind now'.
"And he's sitting there devastated, and you can see it.
"I used to sit there and think, 'this guy is mad; we just won 3-1, he's scored a banger, set someone up as well, and he's disappointed'."
Alongside Ferdinand, van Nistelrooy won the Premier League, FA Cup, League Cup and Community Shield before completing a move to Real Madrid in 2006.
One year later, after scoring some 226 goals for the Gunners, Henry joined his rival in Spain, where the pair won two La Liga titles each with Madrid and Barcelona respectively.
