United were bundled out by Shakhtar Donetsk this week.
"We were unlucky in the end," Scholes explained to ManUtd.com. "You just hoped the effort was there right from the beginning. You saw how much urgency there was in the last 15 minutes when we're fighting for the game. If we managed to start games that way, I think we'd be going through to the next round.
"When you're playing European football against these top teams, you have got to be ready right from the off. You cannot afford to do it in fits and starts.
"The lads have to wise up in Europe. The refereeing is a bit different and the attitude of the foreign players can be difficult. They are clever players and got away with a number of things but the lads really need to learn from that."
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