Alex Rodriguez Says He Misses Daughter Natasha 'So Much' Now That She's in College: 'Crushing Me' (Exclusive)

Alex Rodriguez is many things — a baseball great, a sports broadcaster, a podcast host and a businessman. But his favorite role? Dad.

"Family is the single most important thing," he tells PEOPLE of enjoying every minute of raising daughters Natasha, 19, and Ella, 15.

In fact, he says that he's still coming to grips with the fact that Natasha, who is a freshman at the University of Michigan, is out of the house already.

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"It's just crazy," he says. "All of a sudden they're gone, and you're like, but what happened?"

However, he says his oldest loves being at school.

"She's having the time of her life," he says. "She's in the musical theater program and she absolutely loves it, but I'm crushed. I miss her so much."

So, is the longtime University of Miami fan going to switch his alliance and start cheering for Blue? That's a no.

"I'm still a Miami fan," he says with a laugh. "I just wear the Michigan gear. And I'm a little bit of a fan of the front runners — they won a championship, so I'm like, why not?"

Rodriguez, 48, says that as co-owner of the Minnesota Timberwolves, he wants to extend his love of family to his players.

"I wanted to really create a much better state-of-the-art family room for the players, and when our executives were like, why are you so passionate about it? Why is this so important? I said, well my daughters were raised basically at Yankee Stadium in the family room, with some great people that took care of them."

He adds, "So coming at it from a player's perspective, I have a unique vantage point of what's important. And family is the single most important thing."

To read more about Alex Rodriguez, pick up this week's issue of PEOPLE, on stands now.