United started their 2014-15 Premier League campaign poorly, as goals to Ki Sung-yueng and Gylfi Sigurdsson gave Swansea a surprise away win.
New United captain Wayne Rooney cancelled out Ki's opener and he hit the post with a 25-yard free-kick as his side pressed for a winner.
But the Old Trafford outfit – still trying to get over David Moyes' disastrous season in charge that saw them finish seventh last term – were left shell-shocked by Sigurdsson's 72nd-minute winner.
United enjoyed an excellent pre-season campaign and new manager Van Gaal acknowledged the loss will be a big hit to the confidence of his players, who he felt looked "nervous" at times during the clash.
"Of course, it is very disappointing for the players, the fans, for me, and the staff," Van Gaal told reporters.
"When you have preparation time and you win everything and then you lose your first match, it cannot be worse, I believe.
"We have built up a lot of confidence and then it shall be smashed down because of this result. But we have to know that it is only one game of many games.
"You shall not be the champion at this moment. You shall be the champion in May.
"I saw a lot of players looking very nervous, making the wrong choices and that is a pity.
"These players have to forget that expectation because that is Manchester United. You have to cope with that pressure."
