Ole Gunnar Solskjaer's side needed an extra time penalty from Bruno Fernandes to edge past Copenhagen in Cologne on Monday night -- the latest game in a mammoth season that has already lasted more than a year and 60 matches.
United will face either Wolves or Sevilla in the semifinals on Sunday and Lindelof said they will have to be better if they want to return to the RheinEnergieSTADION for the final on Aug. 21.
"It happens sometimes in football," he said.
"Of course it's been a long season but we played a quarterfinal in a European cup so I think everyone had to be ready for that.
"Like I said, it happens sometimes in football that you don't perform at the level you want to. But the important thing is that we won and we're through to the semifinals."
Despite a nervy 120 minutes against Copenhagen, United are on a run of just one defeat from their last 24 games in all competitions -- a streak stretching back to January.
"I think we have a lot of confidence in the team right now," Lindelof said.
"We've been performing on a very high level, especially after the league ended. "We got the third spot and we've been some performing some really, really good football.
"I think everybody has a lot of confidence and we know we can do some great things.
"Obviously even if we play against Sevilla or Wolves, they are two tough teams but we're going to be ready and hopefully we can go out and perform a really, really good game."
Lindelof and his teammates have five days to recover before their third semifinal appearance of the season.
Solskjaer has already raised concerns about the training facilities offered up by UEFA while the players will also have their movements outside the team hotel restricted because of the ongoing coronavirus pandemic.
"I think it's going to be fine," Lindelof said.
"I think all the players have been playing tournaments. I've been away playing the World Cup, the Euros and everything. "Even if we're not able to leave the hotel at the moment, we have things to do there so I think it will be fine. No problem at all."