Welbeck scored in the first-leg, which finished 1-1 in Madrid.
He told ManUtd.com: "It was a great feeling to get a goal at the Bernabeu, especially because of the whole occasion with all our fans travelling over and with it being such a big game.
"It was a big goal - probably the biggest goal I've scored. It's something you strive for since being a little kid. Playing for Manchester United in one of the biggest games made me feel proud and it gives you motivation to strive for more."