United were held 0-0 by the out-of-form Spaniards in Group H of the Champions League following questions from Mourinho as to whether every player was pulling their weight in Saturday’s 3-1 loss to West Ham.
And after taking part in a rare team huddle prior to kick-off, Fellaini explained that it was a show of unity between the players and a sign that Mourinho has their backing.
“Everyone is going in the same direction to try to improve and to do better. I think we wanted to show that we are together,” the midfielder told reporters.
“I think it was a bad day against West Ham. We were all bad. Today I think we showed improvement and we have to keep going.
“[Whose idea was it?] Everybody. I think everybody is behind the manager. We have to do our best and do our job. We showed it today but we have to do better on Saturday.”
The Belgian believes that continued hard work will dig United out of their current hole, starting at the weekend when they host struggling Newcastle United at Old Trafford but admitted that it was a frustrating evening against Valencia.
“Yeah, but it was much better than West Ham. We put energy, effort, we run forward, we try to score the goal. OK we didn’t tonight, but we have to keep going.
“We have to continue to work hard. We have the next game Saturday and we play every three days so it is another chance to do better. We have to work hard and try to win on Saturday.
“It is always good to win the game before the break for internationals. Yes, it's important.
“The spirit is there. You saw it today but we have to win on Saturday.
Fellaini also backed his misfiring compatriot Romelu Lukaku to regain his scoring form soon after watching the United frontman fail to find the net for a fifth successive match, saying that it’s simply a matter of confidence.
“It’s always like that, strikers have to score to be confident. At the moment he doesn’t but I hope he will score on Saturday and show his confidence and score goals.”
Tuesday’s result sees United slip to second in their Champions League group, two points adrift of leaders Juventus and three ahead of third-placed Valencia, with a double-header against the Italians now on the horizon.