In an exclusive interview with MUTV, the boss admits he is perplexed at any suggestion that the defeats to Real Madrid and Chelsea in the Champions League and FA Cup respectively could take some of the gloss off the campaign.
Perhaps it is the commanding lead in the table that causes some pundits to claim there could be a 'flat' end to the season for the Reds but nothing could be further from the truth for the manager, who appreciates how difficult it is to win the league.
Despite City chief Roberto Mancini's recent comments, the title race is still not over and Monday's derby is one that United will be desperate to win in order to stretch the lead even further to 18 points with seven fixtures remaining.
Sir Alex said: "I was asked about only winning one trophy. I think that's a strange question in the context of the kind of competition we have as we're up against teams from London - Arsenal, Tottenham and Chelsea - plus Liverpool and Everton.
"They're massive challenges every year [for both Manchester clubs]. For every one of those teams, the supporters want to win one trophy. I think we can win the one that really does matter to the fans in particular.
"Yes, I'd love to win the Champions League again but I'd say that we were knocked out in circumstances everyone is still talking about. The disappointment at being knocked out by Chelsea is obvious but the league form has been fantastically consistent."