The Frenchman has first-hand experience of overturning a two-goal deficit in the Champions League and believes it would be disastrous if United fail to reach Wembley after a superb show at the Veltins-Arena.
However, the flying full-back admits the display was one of the best he's been involved in at European level.
"We never know," he told MUTV. "In football, we never know. I think we played very well tonight but it was a little bit strange to get to half-time without scoring a goal. I think everyone was frustrated. We kept doing the same things we did in the first half. I think there was one team on the pitch and it was a great performance. But, in football, you never know because I remember when I was playing with Monaco, we lost in the Bernabeu 4-2 and Madrid thought they were going to the semi-final. But in the second leg we won 3-1.
"So we have to be as professional in the second leg as we were tonight, we have to keep going and we have to win. We have to win at Old Trafford. If we don’t get to the final, it would be disastrous. We have to do our job. We are very near to another final but let’s do our job at Old Trafford."
Evra was asked if it was as complete an away performance as he could remember in his time in Manchester.
"Yes, definitely," he replied. "The one we did against Barcelona in Camp Nou in the semi-final, when we drew 0-0, tactically the team was very strong. But tonight, I think it was one of the best performances United play away.