The first leg of the last-16 tie between Manchester United and Real Madrid ended 1-1 at the Santiago Bernabeu, leaving everything to play for in the second leg at Old Trafford next Wednesday.
However, Welbeck insists that the players are not thinking of the Champions League match with a Premier League match against Norwich coming up this weekend.
"The manager and coaching staff keep reiterating the fact that the next game is the most important," Welbeck told Manchester United's official website.
"I think the whole squad has got that into their heads and we've all got the same mentality of going into the next game and needing to win to gain momentum.
"Once we come to the Real Madrid game, we'll see what happens. It will be good not to have to travel anywhere for the next four matches in a row and we can try to get wins in every single game.
"All credit to the squad as well because every single player is fighting for their place. They all want to get on the pitch to do the best they can in every competition this year. We are still in three competitions and yet we're coming to the end of the season. It's good for the whole squad."
Welbeck was the hero who scored the away goal against Real Madrid, and he hopes that it can spur him on to add to his tally of two goals this season.
"It was a great feeling to get a goal at the Bernabeu, especially because of the whole occasion with all our fans travelling over and with it being such a big game.
"It was a big goal - probably the biggest goal I've scored. It's something you strive for since being a little kid. Playing for Manchester United in one of the biggest games made me feel proud and it gives you motivation to strive for more.
"I've been played out wide a lot of times," Welbeck added on MUTV.
"I'd like to get more goals but it's more difficult to score when playing out wide. You need to be more creative as well but scoring is part of my game I'd like to resurrect.
"If I can add goals from playing on the wing then it's going to be beneficial to the whole team."