United took the lead through an early Bruno Fernandes penalty and spurned several good chances to score in the second half after Sevilla had equalised.
However, they were thwarted by Sevilla goalkeeper Yassine Bounou and then conceded a late goal to lose the game.
“The boys are devastated,” United captain Maguire told BT Sport.
We created a numerous amount of chances and we have got to win the game - the best team lost.
“They punished us for missing the chances. We have been ruthless at times this year and today we weren’t.
“Losing isn’t acceptable, getting to the semi-finals isn’t acceptable, we have to now really concentrate to take another step. The improvement we have made this year is massive and tonight we played a good Sevilla team and dominated the game, on another day we win the game comfortably and everyone goes on about how well we played.
“There’s areas we can improve, we know that, we need to get better.”
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United have now lost in three semi-finals this season after defeat in the last four of the League Cup and the FA Cup.
There appeared to be some heated words exchanged between Fernandes and Victor Lindelof after Sevilla’s winning goal, with Luuk de Jong getting behind Lindelof to score from close range.
“We scored and then let them out a bit too easily and let them have a bit too much possession for our liking,” said Maguire.
“They didn’t create many chances, a ball in the box, worked it well down our right, we have to do better, we will look at it and we have to improve. Conceding from two crosses is not good enough.
We have worked our socks off out there and deserved to win the game and go through. But ultimately we fell short in the semi-finals for the third time this year so it’s disappointing.
“We want to win silverware. We have got to our third semi-final…and tonight the best team has lost. Maybe that bit of inexperience has cost us in the end.”