The Reds finished third in their Champions League group and were demoted into the Europa League.
“It is a bit strange to see Liverpool in the Europa League but we have to approach the game like we’re playing in the Champions League,” said Insua.
“We want to win a trophy this season and the only one we can win is the Europa League because we are a bit far behind in the Premier League.
“It would be very nice for us. We have to leave the disappointment (of a Champions League exit) behind us and play the next game as best we can.
“I think Liverpool always has pressure in all competitions so we have to think we can win it and the first step will be on Thursday, which is a massive game we have to win.”
Liverpool face Romanian side Unirea Urziceni in the Europa League on Thursday.
“We have to go into the game with confidence and push them at Anfield and go for the win while also keeping them quiet,” he added.
“It is a very important home game and we need to score some goals and not concede because away goals are very important.”