United, Champions League finalists just three years ago, crashed out of the Capital One Cup at the second-round stage thanks to a brace apiece from Will Grigg and Benik Afobe.
It was the latest sorry episode in a worrying start to the season for Van Gaal, who is without a win in three matches as United boss.
Van Gaal, who now has Angel di Maria to rely on after he confirmed his £59.7million move to Old Trafford just before kick-off, understands why some fans might be worried but he insists he will get things right soon.
"When you start as a manager in the Premier League with a home loss, a draw, and after that you lose a cup match then it is very disappointing," Van Gaal said.
"For the fans it's very difficult to still believe in the philosophy of Louis van Gaal but you have to do that because I am here and I am here to build a new team and a new team is not built in one month, it takes time."
Van Gaal's opposite number Karl Robinson said he was "shocked" to have recorded a win he says was the best of his career.
The 33-year-old MK Dons manager predicts the aura surrounding United will diminish with every defeat they suffer.
"It will do that," he said.
"As a young fan of Liverpool growing up I have seen the demise of Liverpool to an extent.
"People do go through periods where things don't go quite right for you."
A poor defensive performance from Jonny Evans, and similarly disappointing displays from the likes of Anderson, Shinji Kagawa and Javier Hernandez, played a big part in the defeat at stadium:mk.
"I am not shocked," Van Gaal said bluntly.
"We made errors in building up situations in the first phase, and when you make errors like that you give the match away."
Van Gaal hopes record signing Di Maria will help his team improve, but he warned not to expect instant results from the former Real Madrid man.
"He has to adapt to our culture, our philosophy, he cannot change like that," Van Gaal said before clicking his fingers.
Van Gaal will experiment with Di Maria in several different positions over the next few days before deciding where he can slot the 26-year-old into his starting XI.
A change in system from 3-4-2-1 to 4-3-3 may be required, although Van Gaal thinks the player is versatile enough to play as a winger or a deep-lying central midfielder.
"You cannot switch to another system and it works like that," said Van Gaal, again clicking his fingers.
"You have to train it, it's a matter of time because the process needs time so we shall see if with Di Maria we have to change the system or not."
Di Maria has told Van Gaal he is fit to start playing straight away, but the Dutchman will assess his new signing in training before deciding whether to give him his debut against Burnley on Saturday.