United take a 2-0 lead back to Old Trafford after last night's semifinal first-leg win at Schalke.
"In football you never know," said the France defender.
"Real thought they were going into the semi-final. They thought they were there already. But in the second leg we won 3-1 and went through."
Evra believes that tie provides a valuable lesson and will ensure his team-mates do not get too far ahead of themselves and start dreaming of a Wembley date with either a Real Madrid side containing United old boy Cristiano Ronaldo or Barcelona, who gave them a footballing lesson during the 2009 final in Rome.
"We have to be as professional next week as we were on Tuesday night and keep going," said Evra.
"We have to win at Old Trafford. But I must say if we don't go through to the final now then it would be a disaster for Man United."