United were beaten 2-0 at Old Trafford to leave them sitting 16th on the Premier League table.
Afterwards, Amorim said: "We are losing the feeling that we are a massive club and it's the end of the world to lose a game at home.
"If we are not scared of losing a game as Manchester United and don't have that fear anymore, it is the most dangerous thing a big club can have. Everybody here has to think seriously about a lot of things.
"Everybody is thinking about the (Europa League) final. The final is not the issue. We have bigger things to think about.
"I'm talking about myself and the culture in the club and the culture in the team. We need to change that."
We need a strong summer
Amorim admits United management need to make big decisions this summer to change the culture inside the club.
He also said, "It's a decisive moment in the history of the club.
"We need to be really strong in the summer and to be brave because we will not have a next season like this.
"If we start like this, if the feeling is still here, we should give the space to different people."