United came from a goal down to win 2-1 at Old Trafford with goals from Christiano Ronaldo (penalty) and Owen Hargreaves but Ferguson admitted that it was torture watching from the dug-out.
"That was torture" the United boss told Sky Sports after the game.
"It was a big game today but we've got through it. The quality in the game today was outstanding.
It was an incredible game. Arsenal were the better team in the first-half. We were nervous and the passing was poor. But after they scored we were fantastic.
Van der Sar was superb. Arsenal were very unlucky not to get something from the game but we've still managed to win.
"We've got a week's rest now before the derby at Blackburn. We're three wins from the title."