Jones was one of the Reds' star performers in the 1-1 Champions League last 16 first leg draw, which produced football of the highest order.
Danny Welbeck's opener on 20 minutes came against the run of play and gave the visitors a crucial away goal, before Cristiano Ronaldo levelled 10 minutes later.
And while David De Gea had to be at his very best to keep Madrid's goal count down to just one, United created enough chances to have come away with the win.
"The lads were disappointed in the changing room after the game because we all felt that we could have scored more than the one goal. We had the chances and with a bit more luck some of them might have gone in," Jones told PA Sport.
"Going in front first gave us great belief. It gave us a spur. But they hit back with a great header from Ronaldo. Once they scored it was a bit of a backs-to-the-wall job, but we dug in deep and it was important to get to half-time without conceding again.
"At the break we said we just had to show some more belief. We know we can play some good stuff and we did that in the second half. If Robin’s effort had gone in over the keeper and also past him at the end it could have been 3-1.
"All over the pitch we were superb defensively," Jones added. "You always have to be on your guard against them. We now have to repeat the same performance at Old Trafford and go out and beat them."