The Dutch international has struggled during his first campaign in England following his £25m arrival last summer, scoring just two goals in 29 Premier League appearances.
Depay wasn't expected to start at Wembley, but his omission from the squad is likely to fuel speculation that he could leave Old Trafford after just one year.
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Memphis Depay could be on his way out this summer
Joao Mario - 5 things you need to know
And finally, United have been dealt a blow in their pursuit of Sporting Lisbon midfielder Joao Mario.
The Blues have reportedly held talks with the 23-year-old's representatives in a bid to beat United to his signature.
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