Goals in each half of the game in the Italian Capital from Christiano Ronaldo and Wayne Rooney gave United a 2-0 cushion ahead of the second leg and a superb chance of a Champions League semi final spot.
"We didn't lose a goal, which was really vital," Fergie told ITV after the match..
"It's a fantastic scoreline for us and I'm very, very pleased.
"It's a very good team we played against. We had to defend really well at times.
"We had some lucky breaks in the second half when they could have scored a couple."