While United are looking to finish in second place in the Premier League standings, the North-West giants had hoped to progress far in the Champions League, only to lose to Sevilla at the last-16 stage on Tuesday night.
However, United can still win a trophy this season and ahead of Saturday's FA Cup quarter-final with Brighton & Hove Albion, Romero has admitted that Jose Mourinho's side must prioritise trying to win the competition for the second time in three years.
The 31-year-old is quoted by The Mirror as saying: "We don't treat this as a secondary competition, we see it as a competition where we need to get to the final and win it.
"We know that it's a tough competition, we know that there are seven other teams who also want to win this weekend and to progress, but we're focused on our work and I'm sure we'll be in peak condition."
Romero could make his ninth appearance of the season in this weekend's fixture at Old Trafford.