Harry Kane's header and a Lucas Moura brace punished United's ramshackle defending in what was otherwise an improved performance from Jose Mourinho's men.
They had started with vigour in response to the previous defeat at Brighton, only to concede three times for the second successive match.
"Even we don't understand what happened," the 25-year-old told reporters.
"We started the game really well, we conceded two goals in the second half. The first goal was a real blow. We didn't understand why because we had the game in hand.
"One goal, two...we kept pushing, we had chances, and we conceded the third.
"It's bizarre. We were determined, we started well, and in the end we lost 3-0. It's a shock.
"We have to keep going, we must not worry. We must work. We are still Manchester United and we won't give up on anything."
Pogba, who played the full 90 minutes, thanked the club's supporters for their backing and insisted it was not time to panic.
"The fans kept pushing us, they were really behind us," he said. "We feel really sorry for them, very disappointed. We wanted to do better.
"I think it was an undeserved defeat for us. In our desire, in everything we put into it. But football can be cruel. We just have to bounce back.
"It won't be easy, but it's just the start of the season. I prefer to start badly and end well than start well and finish badly."