The Red Devils dramatically lost 10-11 on penalties as Unai Emery’s side hoisted the Europa League trophy in Gdansk.
Manchester United were hoping to end their four-year wait to win a trophy, but it was not the case for the English side.
Villarreal broke the deadlock on 29 minutes when Gerard Moreno met Daniel Parejo's free-kick to steer home his 30th goal in all competitions, but United pulled parity just ten minutes after the break through Edinson Cavani.
The game ended 1-1 in normal time and required an extra 30 minutes and a penalty shootout to decide.
Both teams had successfully put away ten penalties each and it was down to the goalkeepers to decide their teams’ fate.
Geronimo Rulli was the hero of the night as he scored his but denied David De Gea to win the trophy for the Yellow Submarines.
"It's quiet, a disappointed dressing room. That's football for you. Sometimes it's decided on one kick - and that's the difference between winning and losing,” Solskjaer told the media after the game.
"We have to learn from that one, not savour this feeling but taste this feeling and make sure we don't get it again.
"We didn't turn up. We didn't play as well as we know we can. We started alright and they got the goal, their only shot on target. We were disappointed to concede a goal on a set play.
"We pushed, we pressed, we got a goal. After we scored we didn't control the game or dominate as we wanted.
"They made it hard for us, they closed spaces. We had the majority of possession. They defended well. We didn't create enough big chances.
"Now is not the time to point the finger at what I'd have done differently. But when you come out without the trophy you haven't done everything right.
"We're getting closer and closer and better. We were one kick away from a trophy and a good night.
"We have to have the desire to come back next year and improve. The only way to get the margins for your side is to work harder and better."
