The 26-year-old striker revealed he is looking forward to testing himself in Europe's second-tier competition, and insists there is no reason why the Red Devils can't go all the way to the final.
"It's a shame we're out of the Champions League," admitted Rooney. "That's what we all want to play in.
"Unfortunately we went out and now we turn our attention to the Premier League and Europa League.
"Every competition we enter we want to win. I don't think the manager's won the Europa League, so I'm sure he'll want to win it.
"There are some good teams but we have to believe, keep working and hopefully we can go on and win it."
After being drawn against Ajax in the knockout round of 32, United's search for both domestic and European success has been made harder with a growing injury list which now includes club captain Nemanja Vidic - who has been ruled out for the remainder of the season - and Darren Fletcher who is sidelined for an indefinite period.
"The two of them are both important players for us," added Rooney. "With Nemanja being our captain it's a shame we've lost him for the season as he's a great defender. But the younger lads have been great.
"It's a shame for Darren, too - he's a great player and a great person. Hopefully he gets well soon and comes back strongly for us."