The 2-1 result saw United bounced out of the Champions League.
Lukaku's goal in the 84th minute managed to lift the crowd at Old Trafford.
It was too little, too late though, and Lukaku himself thinks United needed to score before Sevilla to quell the visitors.
"We should have scored earlier, maybe in the first-half with the half chances we created," he said. "The last pass today was not good enough.
"We always get in the right position but the ball to each other was not good enough, and that is what killed us today."