Shearer departed Blackburn Rovers at the end of the 1995/96 season and was left with a choice between Manchester United or his boyhood club.
The Newcastle legend told Neville he had held meetings with both Sir Alex Ferguson and Kevin Keegan and was even leaning towards United. The 49-year-old said the chance of a deal was between 85 and 90%.
However, after Shearer held a second conversation with Keegan, the Premier League legend was swayed into returning home and joining Newcastle.
Speaking to Neville on Soccerbox, as reported by the Manchester Evening News, Shearer said: “That was when I sat down with Sir Alex and spoke to him and spoke to Kevin in the morning. The same day. I met them both on the same day. Sir Alex came in the afternoon and his first words to me were: ‘Am I seeing you first or second?’
He said: “I told him I had met Kevin in the morning and he said: ‘well that’s me, I’ve got no chance. But that wasn’t the case actually. I was 85/90 per cent sure I was going to join Man United and then I got another phone call off Kevin.
“He wanted another half hour with me and I did and I thought do you know what? I want to go home. It was always my dream and it was a great decision.”
When asked whether he had any regrets regarding his decision, Shearer said he had none and would make the same decision again.
“No. I don’t. I’d do exactly the same again. What I have got at Newcastle, my club. I stood on the terraces as a boy and went back as the world’s most expensive player.
“I wore the number nine shirt, I am the record goalscorer and I have a statue outside St James’ Park. I know I would have won more trophies but the 10 years that I had, the goals I scored and what I have at Newcastle – I will never regret it.”