Sevilla reached the quarter-finals of the tournament thanks to a 2-1 win at Old Trafford, secured thanks to a rapid double from substitute Wissam Ben Yedder.
Lukaku grabbed a late consolation for United but the hosts could not find a dramatic late fightback to move into the last eight of the competition.
And the Belgium international, who hit his fifth Champions League goal of the season in the defeat, was critical of his team-mates.
"Something was wrong with some players, some players were hiding," Lukaku told BT Sport.
"I think we started the game well, but then we let them get a bit of control in the game. We had a few half-chances but we didn't score.
"Then they scored the first goal and from that moment on we tried to chase the game. Then they scored the second one which was a big blow. At the end we kept pushing, but it was not enough.
"We should have done much better today because with the quality that we have in the team, I think we should have gone through. But we didn't deserve it because we weren't good enough.
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! 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
"We should have scored earlier, I think maybe in the first half with the half-chances that we created. The last pass today was not good enough - we always get in the right position but the last pass to each other was not good enough and I think that's what killed us today."
However, he has now taken to Instagram to clarify his comments, maintaining that he meant some players hid their faces in the dressing room following full-time.
"Never will I criticise my teammates! Hiding your face when you’re upset in the dressing room is normal," he wrote.
"The result is terrible but we’re Manchester United. We will bounce back for sure with your support! 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 host Brighton and Hove Albion in the quarter-finals on Saturday and Lukaku demanded an instant response from his team after a substandard performance against Sevilla.
"In the dressing room some people are disappointed with the result because we expected better from ourselves," Lukaku said.
"We knew we have a lot of quality in our team but today we didn't show it. It's difficult for us but we have to bounce back and we have one trophy to go and chase.
"That's the FA Cup but we wanted to go very far in the Champions League because that's what a club like Manchester United needs to do. But we couldn't do it today and that's why we're disappointed."