“It’s taken me a few days to be able to talk about my intense disappointment from our Champions League exit,” said David De Gea in an Instagram post.
“We didn’t do enough over the two games but this is on us.
“We must use this as energy to improve ourselves, to learn, to achieve, and challenge again. That is all we can do in this tough moment.
“I have said many times that we are far away from where we want to be but, we as players will go again for the remaining Premier League games.”
Manchester United lost 0-1 to Atletico Madrid in the second leg after a 1-1 draw in the first.
The exit from the top competition now means United have to end 2021/22 without silverware.
Meanwhile, the race to finish fourth in the Premier League is also heating up, with Arsenal one point ahead of fifth-placed United.