Wayne Rooney gave the home side the lead 22 minutes in but Llorente equalised just before the break, and second-half strikes from Oscar De Marcos and Iker Muniain looked to have effectively decided the last 16 tie in the visitors' favour.
However, Rooney slotted home a penalty right at the death, after De Marcos had handled the ball inside the area, to take just a smidgeon of the shine off the victory in Llorente's eyes.
"To concede a penalty at 3-1 in this way was a shame, but I think it is a good result," the Spain international is quoted as saying by Marca.
"Indeed, it was unforgettable; the game we all wanted to play. We played very well and were in command for much of the game, playing with the ball and with few attacks from them."
The second leg at San Mames kicks off at 19:00CET next Thursday evening.
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