United will be in Rome for the second-leg of their Europa League semifinal defending a 6-2 lead.
"It was a good performance [at Old Trafford]. We started not bad, but then there were two goals for them. After that, in the second half, we came back strong, we won the game and it was a good win," Bailly told manutd.com.
"Six goals is not easy [to score] against Roma, it's a very important step for the final, but it's only one step. Now, we are focused for the second game in Italy and we want to win and do well and get to the final.
“We won 6-2 but in Italy we are not going there just to wait for a draw," he added. “No, we go to win again, that's our mentality and what we need to have to be able to get to the final."