The Red Devils suffered a humiliating 2-1 loss to Danish champions Midtjylland in the first leg of their Europa League last-32 tie at Arena Herning.
Memphis Depay’s 37th minute opener was cancelled out by Pione Sisto before Paul Onuachu secured a famous win for the home side in freezing conditions.
Louis van Gaal’s side can return to winning ways against League One side Shrewsbury Town in the FA Cup fifth round on Monday night.
Former United defender May, who was part of Sir Alex Ferguson’s Champions League-winning squad in 1999, issued a rallying cry to his fellow supporters on Twitter after the 2-1 defeat.
We will keep the red flying high cos Man United will never die ##Believe
— David May (@DavidMay04) February 19, 2016
United are in fifth place and six points behind derby rivals Manchester City, who occupy the final Champions League qualifying spot.
The Red Devils have lost their last two games in all competitions following defeat by Midtjylland and Sunderland.
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