Having lost 3-2 at Old Trafford, United were again second-best as a fantastic volley from Llorente and a scrappy finish by Oscar de Marcos saw the hosts win comfortably on the night.
Wayne Rooney pulled a late consolation back with a superb long-range effort, but the match was long lost as the Liga side qualified for the quarter-finals at a canter.
Once again Marcelo Bielsa’s Basques-only side played at a ferocious tempo, closing United down and counter-attacking in fast-moving packs, barely giving the Premier League leaders a sniff.
And, like in Manchester, Athletic won by one goal but should have racked up a rugby score, De Marcos, Gaizka Toquero and Andoni Iraola all missing sitters, not to mention the countless other opportunities they created.
The pre-match odds favoured United to win on the night, as Athletic were essentially charged to avoid defeat by two goals.
But apparently containment is not a word used often in Basque and the hosts - starting with Llorente despite his having missed training with a hip injury - only had one thing in mind: victory.
The quick-breaking, high-pressing hosts went for United from the off, Markel Susaeta spinning a deflected free-kick just wide early on.
United tried to set the tempo but home keeper Gorka Iraizoz was barely tested thanks to solid defending.
The hosts should have scored on 14 minutes but Iker Muniain and Oscar de Marcos were both guilty of bad misses in immediate succession: Javi Martinez had rampaged forward from centre-half, feeding Llorente whose clever flick played Muniain clean through - with just David de Gea to beat, the youngster fired against the post with De Marcos blasting high and wide with the goal at his mercy.
It mattered not though as, soon afterwards, Athletic were a goal to the good and 4-2 up on aggregate thanks to a goal of immense quality from Llorente: Venezuela defender Fernando Amorebieta sent a pinpoint 40-yard ball towards the edge of the box, where the Spain striker peeled off the last defender before rattling a spectacular volley across De Gea and inside the far post.
United now had to score three goals and, job done, Llorente - still nursing his hip problem - was carted off for workhorse Toquero, while United tried to throw the kitchen sink at the hosts.
It was all huff and puff though as, aside from some good blocks by Jon Aurtenetxe and the aforementioned Amorebieta, United failed to break them down, Sir Alex Ferguson apparently more angered by Susaeta’s possible trip on Tom Cleverley just outside the box than his side’s rather pedestrian creative work.
Half-time came and went and United returned to the cauldron needing to score three goals - but it was Athletic who dictated the play, the Premier League leaders pegged back into their final third for the opening stages.
Llorente had scored a wonder goal but it was almost bettered by his right-back, Andoni Iraola waltzing through the United defence like a mini-Ronaldo but putting his finish wide with just De Gea to beat.
Toquero, a willing runner but mediocre footballer, was a constant thorn in United’s side with his work-rate and movement, but he blasted one finish over and headed another off target when he really should have scored.
He had a hand in their second goal though, beating substitute Chris Smalling to a header, the loose ball spinning into the air and landing for De Marcos, who rattled home his second goal against United this season via a deflection.
Susaeta scooped another simple finish wide, while Toquero tried an ambitious lob with De Gea off his line: that went wide, while De Gea was well positioned next time to keep out De Marcos’s shot.
Rooney gave United’s travelling fans something to cheer with a fine long-range shot into the top right on 80 minutes, that goal applauded by the home fans as was Ryan Giggs when the veteran midfielder - making his 903rd appearance for United - came off.
The home fans’ sporting behaviour was all well and good but United had been humbled and must look to Wolves on Sunday as they seek to retain their domestic crown, Europe well and truly finished for them this term.