Maybe they acknowledged that United had ridden their luck, but thought that it would be a different story at Old Trafford. Maybe they thought United could not play as bad again, and home or not a repeat performance was not possible.
Whatever the reason for the confidence, there were precedents before Mourinho's time and even from last season that suggested that the second leg wouldn't be an easy ride, and more than likely would be quite the opposite.
It is possible that had United got an early goal, Sevilla may have buckled. It's possible but hardly likely.
Celta Vigo was a warning
United entertained Celta Vigo in the Europa League semi-final last season, and did exactly what every United fan wanted, scored early. Considering United had a 1-0 lead after their visit to Spain, that should have been game over.
2-0 up at home against one of the weakest Spanish sides you are likely to see at that stage of a major competition, yet United were a whisker away from being eliminated after conceding an equaliser in the second half.
If United were desperately hanging on against an awful Celta, then what evidence would suggest United would be different against Sevilla with no first-leg advantage in hand?
0-0 away is precarious
0-0 away in Europe in a first-leg is a terrible scoreline. Way back in 2000, United were again lauded for getting that scoreline in the Bernabeu in a Champions League quarter-final against Real Madrid.
After 20 minutes of the return encounter, 1-0 was no longer enough for United to win the tie as Madrid took the lead. Chasing the game, United were three down just after half-time. They lost 3-2 on the night and on aggregate.
United were the Champions, Real would take their crown that year. This wasn't the current squad.
Even when United did prevail, as they did against Barcelona in the 2008 semi-final, nobody rooting for United would have been comfortable.
Paul Scholes' thunderbolt in the first half gave United the advantage at Old Trafford, but the game was on a knife edge for the remainder of the contest and the final whistle could not come quick enough that day.
This United is nowhere near the 1999 or 2008 vintages. Jose Mourinho has still won the competition twice with similar teams though. You don't necessarily have to be the best. For that reason there was faint hope of winning the trophy, never mind getting past Sevilla.
An hour into the contest, Mourinho showed that he may not be the force of old.
Selecting Marouane Fellaini may have been a slight risk. Despite Fellaini being a divisive figure, he has been more of an asset than a hindrance in the main. He never let Mourinho down against Sevilla, he was one of United's better players.
Having been out for some time through injury, taking him off after an hour was no surprise. Yet at that point in time, United were possibly just in the ascendancy in a game that could still have gone either way.
Mourinho the gambler
The belligerent Mourinho of old didn't care what people thought, pundits or fans. He has reiterated this in recent weeks, yet when he brought on Paul Pogba, it seemed to fly in the face of his claims.
Firstly, in view of the fact that Mourinho has questioned Pogba's defensive capabilities, this was an attacking move. Knowing Pogba could open Sevilla up and at the same time could leave the back door open was a risk.
That is not pragmatic Mourinho.
Had he replaced Fellaini with Scott McTominay and kept the status quo, then he would have not only antagonised his critics for playing safe but reopened the Pogba debate at the same time.
It certainly wasn't in keeping with Mourinho's MO, but hindsight tells us that McTominay would have been the better substitution at that time.
Given the cautious nature of the display, he would have not only provided the defensive stability but he would have at least got amongst Sevilla. Not many others did.
McTominay has been excellent in recent weeks, and in amongst all of the criticism surrounding the result and performance, it is hard not to feel sorry for him that he was overlooked.
As it was, the first change backfired and when United went behind with less than 15 minutes remaining, he had no option but to throw caution to the wind, if he hadn't already.
Names, not performances dictate game time
If the first substitution showed a sense of weakness - even if it was done for the right reasons - his second set of changes showed that Mourinho could well be swayed by what people think.
Bringing Juan Mata and Anthony Martial on, and taking off Antonio Valencia was a desperate move, but one that worked when United were equally desperate against Crystal Palace.
Asides from the fact that Sevilla are not Palace, the other player replaced was Jesse Lingard. Lingard hadn't had his best game, but he was far more likely to create something than Alexis Sanchez.
Sanchez has been pretty woeful since his move from Arsenal, yet he remained. That was Mourinho at his most stubborn, refusing to hook his star signing when everyone watching could see he was actually a liability.
Within a minute of the changes, United were two behind and all but out of the competition.
The remainder of the game was reminiscent of a punch-drunk boxer at the end of a fight that they have been outclassed in, throwing wild punches in search of an unlikely knock out.
United humped it long, and Sevilla resisted with ease, despite United's consolation goal.
The 'norm' for United?
If seeing your team exit the Champions League with a whimper was not bad enough for United fans, Mourinho compounded their misery with his crass and ill-judged post matched comments.
Citing his triumphs at Old Trafford in 2004 with Porto and 2013 with Real Madrid, he suggested that this was normal for Manchester United.
Maybe he was reminiscing about when he was special. Maybe that is affecting his memory.
He forgot to mention that United battered Porto on that particular night, and another Scholes goal would have seen United 2-0 up and cruising at half-time had it not been for an incorrect offside decision.
He must have also forgotten that United were leading against Madrid and on aggregate when another shocking bit of officiating saw United's best player on the night, Nani, get harshly sent off. Only then did Madrid take control.
Of course, there was no mention of his 2009 visit with Inter Milan when United despatched them with ease in the last 16, ironically after a 0-0 in the San Siro.
Why would he? It didn't fit his narrative.
Mourinho should tread carefully
He should be careful. Football is cyclical, and all teams have peaks and troughs. Whether his comments have merit about United not being in Europe's elite or not, rubbing his own fans' noses in it is not the way to go.
It was undoubtedly a thinly-veiled message to the board that he needs more money, but he should be more professional and make that request behind closed doors.
No matter what people think of the Glazers, since Sir Alex Ferguson retired they have done nothing but throw money at the team. The board have given Mourinho a new contract, and they have no choice but to back him regardless of how this season pans out.
The fans have had to put up with quite a bit in the post-Ferguson era, and despite the football being hard to digest on times, the trophies have made up for that. Trophies or not, patience will wear thin if he continues along these lines.
If United are off the pace, then he needs to do his job and put them back on their pedestal and prove he is still special, because there was nothing to suggest this is on Tuesday.