The Australian legend concedes he felt for Manly team-mates Chris Hicks and Michael Monaghan after they departed for Warrington Wolves as NRL Grand Final losers at the end of 2007.
Just 12 months later, Manly played champions Melbourne again in the showpiece with Menzies helping the Sydney club to a record 40-0 success, a perfect send-off ahead of his own switch to England in Bradford colours.
However, Hicks and Monaghan did reach Wembley last season and lifted the Carnegie Challenge Cup with Warrington, the holders who face Bradford in a hugely-antcipated quarter-final tie at Odsal tomorrow.
"I'm good mates with those boys and it was nice to see them come over and win something ilke that," said Menzies, one of the most decorated players in the game.
"They've obviously played in Grand Finals back home and said Wembley was as big.
"It's that type of occasion and they know what it's all about.
"If we weren't going to win it with Bradford, I'm glad they did; they were on the wrong end of that final loss with Manly and then seeing us win it the following year must have been tough for them.
"But the closer we (Bradford) get to Wembley now, the bigger and more exciting it gets.
"We had a chat before round one about what it means and were shown some footage.
"It really is one of the biggest things you can do over here and it gave some perspective for the Aussie boys as well.
"We want to get there now especially as the way we got knocked out in the first round last year was pretty disappointing."
In one of the most remarkable Challenge Cup games in history, Bradford somehow squandered a 26-0 lead against Catalans to fall 40-38 in Perpignan.
They have safely overcome Dewsbury and Leigh to reach the last eight this time around but face a fearsome test against Warrington, who are intent on holding onto their crown.
Bradford lost on home territory for only the second time this season last Sunday, going down against Leeds Rhinos after fluffing a number of gilt-edged chances.
It was only their second defeat in eight games but Menzies – at 36, still delivering his class and hoping to earn a new contract for next season – admits they cannot make the same mistakes against a prolific Warrington.
"We also dropped the ball three times on the first tackle which hurt us," he said.
"Against Leeds or Warrington, they're too good. It gave them too much field position and us too much tackling.
"It wasn't very smart especially in that heat.
"I think we've been playing okay the past month and a half though and if we get back to that we can progress," added Menzies.