The Red Devils were dumped out by the League Two side following an extraordinary penalty shootout in the second round tie on Wednesday (27.08.25) and the coach insists that "something has to change" at the club following the humiliation.
Amorim said: "I think this is a little bit the limit. I think something has to change.
"I think the team and the players spoke really loud today, so that's it. [Tonight] I think the best team won, the only team that was on the pitch.
"I think it's really clear what they spoke, so let's move on from this day. I think it was clear for everybody what happened today.
"The way we start the game without any intensity, we were completely lost.
"In this moment, we need to focus on the weekend and then we have time to think."
The Portuguese manager has struggled for results since arriving at United last November and confessed that he had no answers for his team's dismal performance in the cup tie - in which they trailed 2-0 before forcing penalties through late goals by Bryan Mbuemo and Harry Maguire.
Amorim told BBC Radio 5 Live: "[I have] no more answers. I do not even have anything to say. I just want to apologise to our fans. I'm really, really sorry.
"We played well against Arsenal and then we should have won against Fulham. Then to come here in the League Cup when everything is so important in this moment because everything is so scrutinised and we performed like that.
"I think my players spoke really loud about what they want and what they don't want."