Vincenzo Montella's decision to send on Ben Yedder for Luis Muriel proved a masterstroke, the striker scoring twice within six minutes of his introduction to settle the tie in spectacular fashion.
Asked what has to change now to get United into the top-eight teams in Europe, Mourinho retorted: "Everything".
In the 74th minute, Ben Yedder broke the deadlock just two minutes after coming off the bench.
Lukaku sparked a late fightback by turning in a Marcus Rashford corner but United could not match Sevilla's clinical edge in front of goal.
Neither Real Madrid nor Barcelona sidelined their attacking players to stifle N'Zonzi when facing Sevilla but Fellaini's selection was purely a result of the presence of the former Blackburn and Stoke player.
"In the second half we were more clinical with Ben Yedder, he made the difference today".
Man United should not have been caught cold by Sevilla substitute Ben Yedder, considering his Champions League exploits against Liverpool this season.
United continued to be sloppy on the ball, Pogba curling a 72nd-minute effort narrowly wide, but it was a Sevilla substitute who came up with the opener.
The visitors were denied a goal within three minutes of the half-time break by a last-ditch Eric Bailly challenge.
Yet, the Belgian almost made the breakthrough with United's best move of the opening period when he latched onto Alexis Sanchez's layoff and his powerful effort was turned behind by Sergio Rico.
"But I believed in myself, believed in the team and we showed we are a great team".
Things would get worse for United just moments later as Sevilla doubled their lead courtesy of some slack defending from a corner, which allowed an unmarked Ben Yedder to get a header on target at the far post, and though De Gea got a hand to the ball, it cannoned back off the crossbar and over the line.
But it was to little avail as United have now failed to reach the quarter-finals for four straight years.