But Gabriel Heinze clearly didn't get that message in 2007 when he tried forcing through a move to the Red Devils' arch-rivals.
The defender was bidding to become the first player since Phil Chisnall's £25,000 switch to Anfield in 1964 to directly transfer between the two clubs and only the third in Premier League history after Michael Owen and Paul Ince.
However, he didn't account for legendary manager Sir Alex Ferguson to step in and block the deal - leading the player to hire a Liverpool-based legal firm. Fergie after all had spent years building United into a side capable of 'knocking Liverpool off their perch'.
Heinze's agent, Roberto Rodriguez, is alleged to have been told by United's then-chief executive David Gill that the left-back could leave for £6.8million.
But United failed to envisage that offer would come from up the M62 where manager Rafa Benitez attempted to bring the Argentina international to Anfield.
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A £6.8m offer was lodged, but to Heinze's anger and dismay, United knocked back their proposal, with Ferguson adamant a transfer to Merseyside was out of the question.
Speaking at the time, Ferguson said: "I can assure you, Liverpool will not be getting Gabriel Heinze. We can put that to bed right now and we have done so.
"We have had a couple of offers for him and we have turned them down. Heinze's agents are rolling the ball all the time.
"But no matter what his agent thinks, we are in the driving seat. I don't know exactly what Gaby thinks because it's all coming from his agent, but this has been going on for a year and a half now."
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He added: "We're aware that he's taking legal advice, but that's good. I just hope it's good advice because we are very confident.
"I'm aware that it has been suggested that he's using Liverpool's solicitors, but that doesn't worry me. He has either got a case or he hasn't."
Benitez, who was left baffled by United's refusal to sell Heinze to the Reds, stated: "It's clear he's a player we like and he's a very good player.
"That's the reason why they don't want him to leave for us. We made an offer which they rejected. The lawyers are now working on it and so we have to wait."
It then came to light that Crystal Palace were offered the chance to buy Heinze, and then immediately offload him to Liverpool, where they would earn £1m in compensation for their troubles.
talkSPORT host and ex-Eagles chairman Simon Jordan revealed in his diary Be Careful What You Wish For that Phil Alexander, the club's CEO, received an approach from someone called James Green, who claimed to represent a South American agency called Soccer SA.
He wrote: "The gist of the conversation was that this agent wanted Crystal Palace to buy Gabriel Heinze from Manchester United and then immediately sell him on to Liverpool."
Jordan added: "My stance was no way were we getting involved and I told Alexander to contact David Gill, Manchester United's chief executive, and tell him of these attempted shenanigans, which he duly did.
"Of course, I took the opportunity to get Phil to advise Gill we would like them to remember the favour.
"The upshot was that there was an ongoing Premier League dispute between Heinze and United and we were required to give evidence and this strange and murky set of affairs was resolved by others."
The evidence from the meeting was later used in the hearing, which United won.
After losing in his quest to join the Anfield outfit, Heinze told the Daily Mail: "My fight is for the freedom to negotiate with any club.
"United never wanted me to leave for one of the big clubs, but this anti-Liverpool clause is incredible."
Liverpool were expecting Heinze to appeal the decision, but it never happened as United accepted an offer from Real Madrid.
Realising that his preferred transfer was over, he linked up with Los Blancos, where he helped the Spanish win the LaLiga title in his opening season.
Heinze, who won the Premier League in 2007, later spoke of his regret at trying to force a move to United's rivals, stressing he hopes the fans still hold him in a positive manner given his performances in their shirt.
The answer was clear when Heinze returned to Old Trafford with Marseille in the Champions League in 2011.
Chants of 'you Scouse b******' bellowed around the Theatre of Dreams, showing the United faithful had neither forgiven, nor forget his actions.
It was a sad end to a great career and even the player was regretful of the way things ended.
"I don't have many regrets from my career as a footballer, but that episode with Ferguson [has] to be one of them," he said ahead of the European clash. "I'm impulsive and strong-willed and this has got me into trouble at times, which was the case when I left United.
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"I spent three years in Manchester and had some great moments and I regret [leaving the club] a lot. I am a strong personality, Sir Alex is a strong personality. I took the decision and, looking back, I regret it because it meant leaving a great club and their supporters. I was aware of the rivalry [with Liverpool], I knew the risk of going from Manchester to Liverpool and what it means. I hope it doesn't tarnish the way they [the supporters] see me and they will remember the three years I had in the team."
It's been 16 years since the transfer saga, and no player from either side has dared to cross the divide.