The Reds progressed to the next stage of the competition on Thursday night courtesy of a 3-2 aggregate win against Ajax, despite losing Thursday’s home leg 2-1.
Now, Smalling says, the Reds will study footage of the match to ensure similar mistakes aren’t made in the future.
“We’re through to the next round,” he told MUTV. “That's what we can take from it, but it was a very disappointing game.
“When we came off the pitch we felt like we'd lost the tie. But at the end of the day we've made it through and we now have to make up for it in the next round.
“I've not seen too much of [Athletic Bilbao} but La Liga's a strong league. It's going to be another tricky tie.
“We'll have to look at the video [from tonight] and hopefully we'll play better at the weekend [against Norwich].”
Thursday’s defeat was all the more surprising given United’s electric opening to the game. Javier Hernandez gave the Reds the lead after just six minutes when he latched onto Dimitar Berbatov’s pass and coolly slotted the ball past Ajax goalkeeper Kenneth Vermeer.
But Sir Alex’s men let the Dutch champions back into the game and ceded first an equaliser and then large amounts of possession to the visitors before defender Toby Alderweireld headed Ajax in front – at least on the night – with three minutes remaining.