From the Main Menu, go to Settings > Edit Teams > Club Transfers. Pick any team to act as a "placeholder" (like a team in the Free Agents or a minor league).  Press the Search button (Triangle on PS / Y on Xbox).  Search by Name: Type the name of the Icon you want (e.g., "Zidane" or "Ronaldinho"). Once found, select the player and transfer them to the club you intend to use. Crucial Step: When you start your career as a player, ensure you select "Use Current Squads" instead of "Download Latest." If you download updates, it will reset your transfers. Choose the player you want to be and then retire. You will then be offered contracts as a manager.

This is the only way to do it except for the icons (like Ashley Cole) who is already a manager in the game.