Fernandes has excelled since joining United from Sporting Lisbon in January and wants to mark the end of his first season with European glory.
The midfielder said: "I think it's so important to win because every player needs to understand how it is to win a trophy for Manchester United.
"For the coach, it will be important and for the players because I think we've done very well until now."
United face Inter Milan in the semi-finals after securing a third place finish in the Premier League, although Fernandes has urged the team to strive for more.
The Portugal international said: "I think if we finish with a trophy, it will not be perfect, but it will be a good year for us because Manchester United needs to come back again to win some trophies and fight for the European competitions and also the league.
"Finishing well now is a good start for next season."
Fernandes also suggested that winning trophy in Germany could lay the foundations for a league title bid next season.
He said: "I think we need to keep progressing and we need to start the league with the mentality to win.
"We know we play for a big club with big aspirations, also the players, we have big aspirations and we need to win some trophies.
"Of course, the Premier League is one of the trophies we want to win and I think to win the Europa League would be good for the mentality of winning trophies and fighting with the top clubs.
"For next season, if we can win this, it will be important."