Neville, 44, spent four months in charge of Valencia from 2015 into 2016 and was part of the England coaching set-up from 2012 to 2016.
He now co-owns League Two side Salford City, works as a pundit, and runs hospitality and property businesses.
“There is not one single part of me that wakes up and thinks ‘I want to be on the training field’,” Neville said.
Neville was sacked by Valencia after winning 10 of 28 matches in charge.
His brother Phil is manager of the England women’s team, while sister Tracey recently stepped down as head coach of the England netball team.
“I had my foray into management in Valencia and it was probably one of the best learning curves I have ever had,” Neville told BBC Radio 4’s Today programme. “It was a clip around the ear, sometimes you need one in life.
“I’m more interested in the board room or in the business side of things. The football side I love. I love watching matches but I just don’t want to be on the training pitch, I feel like I’ve done that part of my life and want to move on.”
Neville was among the group of players dubbed the ‘Class of 92’ to break into Manchester United’s first team under the club’s former manager Sir Alex Ferguson.
The group – which includes David Beckham, Nicky Butt, Ryan Giggs, Phil Neville and Paul Scholes – spoke to the Today programme at the launch of their own university degree courses.