The Reds must overturn a 2-1 first-leg defeat against Sunderland on Wednesday to reach Wembley, and Jones says that they have to deliver for the fans.
"It was always massively important to us - we want to win every competition. Now we have to go out and produce the goods. We have to get to that final," he told the club's official website.
"Listen, the fans have been terrific and they were great again on Sunday. They've not had the easiest of times this season but they've stuck by us and that's important. We all need to stick together - fans, players, staff - and we'll come out stronger for that."
Manchester United are currently seventh in the Premier League table and have lost four of their past five games in all competitions.