Sevilla star Wissam Ben Yedder's brace was enough for a shock win for the Spanish side and dump Jose Mourinho's team out of Europe.
Lukaku got a late consolation but appeared to accuse some of his colleagues of hiding during their embarrassing elimination.
Lukaku, who has scored 24 times this season, said: "Some teams will flow with some players but some players are hiding.
"The deception was really big because I think we started the game well.
"But then we let the get control of the game and then we had a few half chances but didn't score."
But the Belgian international, a £75million summer signing from Everton, has taken to social media to clear up the comments.
He posted on Instagram: "Never will i criticise my teammates! Hiding your face when you’re upset in the dressing room is normal… The result is terrible but we’re @manchesterunited we will bounce back for sure with your support!
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"Another big game coming up time to prepare for that one! 200 Goals now in my young career but it’s time to add trophies in my career… time to work even harder."
United are now pinning all their hopes of silverware this season in the FA Cup where they take on Brighton on Saturday in the quarter-finals.
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