With the 29-year-old roaming as a free agent, Major League Soccer (MLS) clubs are reported to be interested in signing the English player.
In his time at Manchester, Lingard made 232 appearances and scored 35 goals.
United will now have to quickly forget the defeat as they will host Villarreal in their next Group F game on September 29 in a repeat of last season's Europa League final.
Lingard joined United's Youth Academy as a seven-year-old.
Jesse Lingard paid tribute to Cristiano Ronaldo with his celebration as England comfortably beat Andorra.
The midfielder ran 60 yards from his own half and scored one of the goals of the season to open the scoring on a thrilling evening at Molineux stadium.
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