Man United take on Sevilla in the semi-finals on Sunday having fallen at the final-four stage in both the FA Cup and League Cup this season.
But despite those disappointments, the Portugal believes reaching a first final under Solskjaer – having finished third in the Premier League also – would be a clear demonstration of progression.
"I think it's so important to win because every player needs to understand how it is to win a trophy for Manchester United," Fernandes told the Press Association’s Simon Peach.
"For the coach, it will be important and for the players because I think we've done very well until now.
"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."
"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."