Rooney stretched his goalless scoring streak to 10 United matches on Saturday as Louis van Gaal's men drew 0-0 at home to Newcastle.
The United captain has not scored since April 4 although he was perhaps unlucky to have one chalked off for a very tight offside call against the Magpies on Saturday.
Yet despite his troubles in the box, Rooney is having a big influence in other areas - most notably in helping Depay find his feet at Old Trafford following his £25million move from PSV Eindhoven.
"Wayne Rooney helps me a lot," Depay said.
"He has a lot of experience
He already knows everything about the football world so if I have any questions I can ask him."
Rooney tested Krul from 25 yards shortly after his disallowed goal, but did little else to suggest he was going to break his duck for the season.
He was not the only one to miss chances against Newcastle, however.
Juan Mata ballooned a volley into the Stretford End in the second half and Chris Smalling's header struck a post in the dying minutes.
Depay also rounded Tim Krul when put through but failed to score.
The Dutch forward, who scored his first two goals for the club against Club Brugge on Tuesday, admits he and his team-mates have to be more ruthless.
"It was a frustrating afternoon," he said.
"We started great and we created some chances but didn't finish them
The second half also we created some more chances but again we didn't finish it so that was the frustration.
"It was one of those days but we have to start finishing
I could have finished a couple but I didn't and I have to work on that.
"Opponents are more organised here
The Premier League is stronger than in Holland everybody knows that."
While United left Old Trafford disappointed, Newcastle headed back up to the north-east happy having answered some of the critics who condemned their supposed defensive frailty following the 2-0 defeat to Swansea last week.
Jack Colback feels the critics were too quick to jump on Newcastle following the loss at the Liberty Stadium, which came a week after they started the season with a 2-2 draw against Southampton.
"It's quite scary how quickly this season everyone is being criticised, it's daft after two games, but that's the nature of the game," the Newcastle midfielder said.
"Everyone is quick to jump on the negativity but as players you have to focus
We were disappointed last week, but we focused quickly on the next game and we have got a point."
Steven Taylor, who along with Fabricio Coloccini performed superbly to repel United's relentless attacking play, praised the impact of new manager Steve McClaren.
"Everything has changed," said the defender, who has played under 12 different managers during his 12 years at the club.
"There are new methods here
The style has changed, and so has the training regime.
"It's a whole new look to Newcastle and it has been needing that - a bit of a fresh look to it.
"The main thing is that he's given the lads confidence
Everyone has had a clean slate."
Source : PA
Source: PA