The under-pressure United boss walked out of a news conference after less than five minutes on Wednesday.
United have gone six games without a win - including three successive losses - and Van Gaal said he is experiencing his worst period at Old Trafford.
He added: "There's no disguising the fact we're in a very bad period. Things must begin to improve immediately."
Van Gaal was writing in the United match programme for the 28 December encounter with Chelsea, whose former manager Jose Mourinho has been linked with his job.
who have to make the improvement
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