United’s place in the Champions League was put in serious jeopardy after they played out a disappointing 0-0 draw against the Dutch champions on Wednesday.
United squandered a number of chances in the first half and PSV could have grabbed a shock win if they had taken their opportunities after the break.
Victory would have sent United through, but the only way they can now guarantee themselves a place in the last 16 is if they beat Wolfsburg away in two weeks’ time.
If United lose at the Volkswagen Arena, the only way they will progress is if PSV are defeated at home by CSKA Moscow.
“It is a disappointing result overall and leaves us with a tough game in Germany now, but we believe we can go there and win,” the United captain said.
“When it comes down to the last game you can’t pick and choose and say we want to finish first or second, it’s all or nothing.
“We have to win and that is the aim and that is what we need to do.”
United may be second in the Premier League and undefeated in five matches, but some of their fans are still not happy about life under Louis van Gaal.
Rumblings of “Attack! Attack! Attack!” were heard at Old Trafford again on Wednesday as the home support grumbled at the lack of enterprising football on display.
Rooney admitted United lacked composure in front of goal and did not deserve to win.
“The result was probably a fair one,” he said.
“In the first half we were the better team and created a few decent chances, and maybe were unlucky not to come in at the break one up.
“And in the second half we didn’t show enough composure on the ball, they changed their system and made it difficult for us and we failed to adapt to that.
“In the first half we opened them up. In the second half it was a lack of composure more than quality. There were occasions we could have put our foot on the ball and controlled it a bit more but we were a bit panicky at times which allowed them to get back into the game.”
Winger Ashley Young, who injected pace and vision into the United side when he came off the bench, hopes the team will bounce back with a victory against Leicester that would put the Red Devils top of the table.
“We are really disappointed,” Young told MUTV.
“With the amount of chances that we created, we should have probably won the game, especially in the second half when it came open.
“It is going to be difficult (to win in Germany) and we should have won the game (on Wednesday).
“We just have to pick ourselves up and go again this weekend.
“Leicester are doing well, it’s a top of the table clash so we will be looking to keep the good form we have shown over the last few weeks.”
Meanwhile, Claudio Ranieri has told Jamie Vardy and Riyad Mahrez they can become champions at Leicester if they stay with the Foxes.
Vardy will break the league’s consecutive scoring record if he nets in an 11th straight game against United after equalling Ruud van Nistelrooy’s achievement with the opener in last week’s 3-0 win at Newcastle — which took City top.
Both Vardy and Mahrez have been linked with moves from the King Power Stadium after excelling this season but Ranieri believes his plan for the Foxes can convince the pair to stay.
He said: “I think we are building a very good construction. I understand if somebody wants to go but I believe in the next year Leicester, slowly, slowly, can grow up and battle with the top.
“At moment we’re very happy and also Jamie is happy with us and he can continue to show his strength with us. Jamie, Riyad, everyone.
“This is our project. I spoke to the owners not now, in July (about it). People believe in me — I believe in me too.”
Vardy is the league’s 13-goal top scorer — after netting just five times last season — and Ranieri praised his character with the former Fleetwood striker on the brink of history.
He said: “Jamie is now a champion. He has to take confidence in this. For me he is a champion if he thinks more about the team and not himself. Maybe I would like the other players to think about Jamie, that is what I would like to see on Saturday.
“In football all strikers have good moments and bad moments. Now everything is okay but it’s important to see Jamie when everything is wrong. He’s a strong character because he comes from non-league.
“The record is for everybody, Jamie is the tip of the iceberg.”
Ranieri is likely to pick an unchanged line-up with just Matty James unavailable, although the midfielder has returned to light training following a long-term knee injury.