It is not so much Tuesday's 2-0 first leg loss that leaves them facing a mountain to climb in Manchester's "Theatre of Dreams" but the lack of belief they can turn the tie around against a team that could have easily won by five goals.
The fact that Schalke had not lost any of their last nine Champions League matches before Tuesday and won all of their five previous home games in the competition makes their work in Manchester even more difficult.
"Our starting position now certainly points to Manchester having the advantage but in football you never know," Schalke coach Ralf Rangnick said.
The German coach, who took over five weeks ago from Felix Magath said this short time had not been enough to bind his players into a unit capable of seriously challenging the three-time European champions.
"Manchester were on a different level than Inter Milan (in the quarter-finals). We reached our limits. We will certainly need a wonder to progress," he said.
Schalke, 10th in the Bundesliga with no real chance of playing in the Champions League next season, take on Bayern Munich on the weekend hoping a win could restore some of their lost confidence after United ripped their defence to shreds for over an hour in a one-sided game.
"We will not give up in the second leg but the result is pretty clear," said goalkeeper Manuel Neuer who prevented an embarrassingly high-score defeat with half a dozen superb saves.
His performance was the solitary Schalke highlight, prompting United coach Sir Alex Ferguson to label it the best by any goalkeeper against United in his years in charge.
To have any chance in the return leg Schalke need more than just an in-form Neuer. They must beat United at home, with Manchester having yet to lose this season in the entire competition, let alone at home.
"Why should we capitulate?" Rangnick asked.
"We need to make things differently and in football many things have happened. We have shown we can score away from home and we will try to get our chances in Manchester."
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