The Frenchman, captain of the Reds since Nemanja Vidic's campaign-ending injury, was speaking to MUTV after his side bowed out of the Europa League in Bilbao.
The champions' fourth premature exit from a competition - following disappointments in the Champions League, Carling Cup and FA Cup - means the season will end without a cup-final appearance for United, for the first time since 2002.
"A big club like Manchester United should be able to compete in every competition. But now we have no choice, we have to focus on the league," said Evra.
"We have to win the league to save our season. If we don't win the league, it will have been a really bad season."
Evra insisted the Reds will have no problem bouncing back from the 2-1 loss to Athletic Club, especially with an important league match coming up so soon, at Wolves on Sunday.
"I'm not worried about the league because we are playing well and now we are top, in front of Manchester City," reasoned Patrice.
"After tonight we go home and rest, then focus on Wolves because it's a big game, a massive game and we have to make sure we win."
Evra was at a loss to explain how a team leading the English league has struggled with overseas opposition this term.
"We didn't start well in Europe this year - maybe we were too confident at the beginning of the Champions League - and this is the end now. We are out