United were stunned by Sevilla as Wissam Ben Yedder came off the bench to strike twice late on and stun Old Trafford.
Romelu Lukaku pulled a goal back but it was too little too late as Mourinho suffered the worst result of his reign in charge of club.
Speaking on BT Sport, Scholes said: “They keep spending money and yet you hear they are supposedly three or four players away.
“There are players in that United squad to play good attacking football.
“Marcus Rashford was frightening on that left side on Saturday, but he moved him to bring Sanchez into what he thinks is his best position.
“He gave the ball away so often and his manager has to see that in the ten games he has played, he has not been good.
“He needs to choose his best front three and be brave enough to leave one out. At the moment, Sanchez is the one to leave out."
Scholes added: “There was no desire, energy or speed about the team. I can't explain it.
“You go back to the first game which ended 0-0, they didn't even try to win or score a goal.
“It seemed their main plan was to hit long balls to Marouane Fellaini and play for knockdowns.
“That's not good enough in the last 16 of the Champions League."