The Red Devils, who have won a trophy in three seasons, have lost in the semi-finals of the EFL Cup, FA Cup and Europa League this season.
“Losing is acceptable. Reaching the semi-finals is acceptable,” Maguire told BT Sport.
“[Winning a trophy] will come soon. We’re going to win it as soon as possible.”
United led by a penalty by Bruno Fernandes, but the goals of former Premier League players Suso and Luuk de Jong sent Sevilla to the final for the sixth record.
Sevilla goalkeeper Yassine Bounou, the player of the match, with six stops on a frustrating afternoon for United in Cologne.
Seville will face Inter Milan or Shakhtar Donetsk in Friday’s final.
Maguire said: “The team has lost. We were punished for lack of opportunity. We fit into two centers, which is not smart enough.
“We worked our socks and deserved to win and pass. We failed in the semi-finals for the third time this year.
“Maybe that little inexperience will burden us – we’ve conceded that goal for the time being.”
United coach Ole Gunnar Solskjaer, whose last good fortune was the 2013 Norwegian Cup with Molde, said: “It’s very disappointing, hard to take. We played things at times and created opportunities, but we couldn’t achieve the goal we deserved.”
United made a change until the 87th minute.
“Sometimes, in games like this, when you create so many opportunities and starts, it’s hard to get players out of the area with goals,” Solskjaer said.
“We want the intensity of our team, of course. I can’t tell you when or if the transfers will be made, but we’re looking for it. We’ll have to be 100 percent sure when we conclude those agreements.”
It is the longest trophyless race for United, who finished third in the Premier League standings, in 30 years.
Fernandes gave himself to an argument with zaguero Víctor Lindelof after the second goal of Sevilla, who failed to manage the center of Jesús Navas.
“It’s general when you fit in,” goalscorer Fernandes said. “It’s not about me or Victor. What’s between Victor and me is a general. This will happen many times in football. We want to see the mistakes everyone has made and improve.”
BBC Radio Five Live specialist Stephen Warnock said: “If United strengthens defence, with the quality it has now, I think it can boost the league next season.”
United, which has not earned the name since the retirement of coach Alex Ferguson in 2013, finished this season with 66 points, 33 in the Liverpool Champions League.
“I’d be here to bring one of The two central defenders of Seville tonight,” Warnock said. “Diego Carlos’ strength tonight, I’d probably see her.
“Many other people were excited to say that this team can compete for the Premier League but cannot. They don’t have the intensity to do it, and we saw it tonight.
“If Manchester United feels sorry for himself, he may not have a good season next season. They’ll have to be hungry, they’ll have to come back wanting.”
Former United midfielder Paul Ince said on BT Sport: “United deserved to win, but it’s about being ruthless. You have to take the risks. Will they give Solskjaer time?”
“It took [Liverpool manager] Jurgen Klopp five years. United wants a reputable striker. Is Anthony Martial one of them? I don’t think so.”
Former United midfielder Owen Hargreaves said: “Winning titles is not the most productive team, it’s about being there at the defining moments. We want players who can make a difference.
“If Jadon Sancho is there, United will win the game.”
Ben: Several times in recent years we have won In a bite to Seville tonight, luckily defensively and taking advantage of the mistakes. Now on the front table side; just as the cookie crumbles. The truth is, strangely, feeling hard tonight is a sign of progress.
James Dawes: Another bad demonstration by Lindelof and Pogba. A poor resolution of Lindelof returns the charge and I didn’t even know Pogba playing.
Mike Crew: Three semi-final losses are not smart enough and frankly unacceptable. Three seasons without a trophy is not enough. This team wants to be part of a dozen new faces that are up to the task; because some of us who have are not.
Amrul Choudhury: I think Dortmund may be waiting for a call soon
Kris Jefferson: I’m sorry, but you can’t expect to challenge the most productive competitions like this without taking your dangers and wasting your defense. No one to blame for this loss except Man Utd.