The winger scored the first goal against St Etienne after a delightful cross from Juan Mata but was soon replaced by Marcus Rashford after just 25 minutes.
It looks as though he injured his hamstring and could be out of their cup game final.
The midfielder was earlier pictured holding his leg before going down the tunnel, so it does not seem like a tactical change, though United eventually won the game 1-0.
He could now be a serious injury doubt as United take on Southampton this weekend in the EFL Cup final at Wembley.
Either Rashford or Martial will start in his place against Southampton.