MARK McVeigh says Australian Sports Anti-Doping Authority  investigators never suggested he might have taken banned drugs, despite posing "surprising and shocking" questions during his interview.

McVeigh, who retired at the end of last season, was subjected to several hours of questioning by ASADA earlier this week.

The 32-year-old maintains that neither he nor any other Essendon player took illegal substances, and takes comfort in the fact that signed documentation apparently proves this.

McVeigh, a long-time friend of Essendon coach James Hird, is confident his former teammates will escape penalty.

"It was a long meeting and a lot of questions, and a lot of questions I couldn’t answer because I simply didn’t know," he told Channel Seven's AFL Gameday on Sunday. 

"All you could do was tell the truth, and I felt comfortable in that.

"It got quite serious at times, but that's what I expected. I certainly got my point of view across and reflected my thoughts and my memory of what I think happened, and I came out of it with probably a few more questions, no doubt. But I never once got told that I received anything illegal."

However, he was shocked to be asked about his associations with people he'd never met nor heard of, and was most disturbed by questions about where players' blood samples had been stored.

"That was the one that really shocked me," he said. "They asked me where that blood had gone and I’d just assumed to Melbourne Pathology. They couldn’t really give me an answer of where that had gone, and that (raised) concerns for me; I was worried ...

"You assume when you get a test like that it just goes to your club doctor, but the way it was spoken about was that things may have been done without official doctors of the footy club (or) coaches knowing … That had grave concerns for me."

McVeigh said that before his ASADA interview, he and his family had been worried that he had been administered a banned substance without his knowledge.

"That wasn't suggested (by investigators), but I did have some questions around that," he said.

"What we've got to understand too is if you are given a certain supplement, there are three or four different strands or tablets of the same substance that could be illegal. The ones I signed up for, and the ones the players did, we were told they were legal, and (documentation) shows that."

McVeigh is more concerned about the club being sanctioned than the players.

"The governance side I worry about ... (but) I’m not fearful of the players being banned or out of the game because there’s no way the players would have agreed or signed up to something that was illegal,” he said.

McVeigh also marvelled at the Bombers' ability to focus on their football in the face of such stressful distractions.

"The whole intensity of the (interview) was quite serious. I really felt for the young players … and really respect what they’re doing at the moment. To be able to galvanise that group and play under the pressure that they would be under, it's quite remarkable," he said.

The previous day, a "furious" McVeigh told radio station SEN that the supplement scandal had been due to the influence of a "huge rogue element'' involved with the club at the time.