Neuer announced last week he will leave the club he joined as a boy at the end of the season with Bayern expressing firm interest and media reports linking United with the in-form Germany keeper with Edwin van der Sar retiring in May.
Asked if he would make a bid for Neuer or whether a Bayern move had already been sealed, Ferguson told Sky Sports: "I think we know that (he will join Bayern), we know that for sure."
Bayern have already asked for a meeting to discuss signing Neuer, who local media say would cost 20 million euros, and although that was turned down the Bavarians still hope the keeper will join them at the end of the season.
Neuer made a string of fine saves in the first half to keep dominant United at bay in Gelsenkirchen but was finally beaten in the 67th minute when Ryan Giggs put the ball through his legs and two minutes later he was beaten by Wayne Rooney's strike.
Although Ferguson was astounded by Neuer's overall showing he looks poised to go shopping elsewhere for a new goalkeeper with the likes of Atletico Madrid's David de Gea in the frame.
"When (Javier) Hernandez scored and he was offside I think that told the players they could beat this keeper," Ferguson joked of the Mexican's disallowed effort at 0-0 when United, now almost sure of a place in the final, were rampant.
Ferguson later told reporters: "I think in my time at United this was the finest display of goalkeeping against us. I'm sure there were other feats but tonight we saw a very good one."
