Whelan admitted he was offered the chance to buy a controlling interest in Manchester United in 1989 but declined because of his 'loyalty' to the Latics and Blackburn Rovers.
He said: "I don't know how someone like Ken Bates can move from Chelsea to Leeds and be a Leeds supporter. I find that strange. I know I couldn't do that.
"Neither am I a Manchester United supporter. I'm a Wigan and Blackburn supporter and no one else because you never leave your clubs."