Rashford has struggled to secure a regular spot in the first-team under Jose Mourinho, but has still managed to score 13 times for the club this season.
Cole says Rashford has a right to feel frustrated but has advised the attacker to focus his energy towards his own game.
"It's been a sticky one for him this season, it really has", Cole said.
The Belgian has played over 1,000 minutes more than striking rival Marcus Rashford in the Premier League and has scored 27 goals in all competitions despite attracting criticism from some quarters.
"With Marcus, he has to focus his mind on learning and improving and wanting to become a better player". You know you've got a massive game coming up and are a bit touch and go or whatever.
"Then, when you do come on, it's hard to try and get into a game or when you start you put yourself under massive pressure".
'If he starts playing to his strengths, and taking advantage of what he has as an athlete - his strength and power - and starts running in behind and stretches teams, you'll get even more out of him'.
"You've got to still want to learn, still want to improve".
"The first person you'll always ask that question is to yourself".
Rashford's chances have been limited by the form of Romelu Lukaku and Cole has been impressed with the Belgium international's impact since his arrival at Old Trafford at Everton.
Lukaku has been trying to win his battle to be fit for the game as Manchester United look to try and end the season on a positive note by beating the Blues at Wembley. "For his first season I think he's done brilliant".