John McGinn and Leon Bailey struck the goals after halftime to win the round of 16 tie 3-0 on aggregate.
"It is a lovely feeling," Sancho explained after the match.
"Tonight has been incredible with the fans. We stuck to the game plan, that’s what we needed, and hopefully we keep that momentum into the Premier League.
"We have got to take it game by game. This is a tough competition; Europe is very different. We worked hard on and off the ball, and if we keep doing this, I’m sure we can go very far in this competition."
On McGinn, he added: "We've missed him a lot. He's a great guy to be around, and he brings a lot of energy into the changing room. So happy to have him back and happy to assist him today."