After victory over Watford, Redknapp said: "We'd love to reach the final.
"I'm sure they enjoyed their day but they won the final and couldn't win a league game.
"We've got to realise where our priorities are. League games are all important for us."
Redknapp, who won the FA Cup with Portsmouth last season, added: "You get this close and it's important to try to go all the way now. The priority is the league, then secondly this competition because we have a genuine chance.
"Alex (United boss Sir Alex Ferguson) will sniff the chance, he'll want to win it. He won't put his youth team out."