Fulham faced an uphill battle from the early minutes at Old Trafford, when Ryan Giggs converted a penalty, and United completely outclassed Jol's side for much of the rest of the game.
While Jol was upset at the manner of the defeat, he admitted it was better coming in a cup competition than in the Premier League, where their worrying recent form has seen them start to drop down the table.
"We tried to have good intentions and play our football but we couldn't," Jol said. "We couldn't link up from the back and we couldn't keep the ball.
"It was still 1-0 at half-time so we were still in it, but we came out and they scored two early goals and the game was finished.
"Luckily enough they only scored a fourth goal because it could have been one of those days that they scored six or seven.
"But it's a one-off game and we lost it. For us the most important thing is the league. We have to try to remain positive because it is Manchester United again next week so it is a difficult spell for us.
"Our quality up front will always make a difference but we lacked conviction and confidence and a bit of energy today."