They go in to Wednesday night’s semi-final second leg at Old Trafford trailing 2-1 to Premier League strugglers Sunderland and are by no means favourites to progress given their difficult season so far under new boss David Moyes.
But Jones believes there is no other option but to make sure the Red Devils book their place in the Wembley showpiece and getting there has been an important goal for them this season
He told ManUtd.com: “It was always massively important to us. We want to win every competition.
“Now we have to go an produce the goods. We have to get to the final.”
And the England defender also wants to repay the fans their continued support through what has been a tough transitional period between management by ensuring victory against Sunderland on Wednesday.
“Listen, the fans have been terrific and they were great again on Sunday,” Jones said.
“They’ve not had the easiest 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.”