This paper presents the development of a joint optimization of an automatic gain control (AGC) algorithm and a linear \textit{minimum mean square error} (MMSE) receiver for multi-user multiple input multiple output (MU-MIMO) systems with coarsely quantized signals. The optimization of the AGC is based on the minimization of the \textit{mean square error} (MSE) and the proposed receive filter takes into account the presence of the AGC and the effects due to quantization. Moreover, we provide a lower bound on the capacity of the MU-MIMO system by deriving an expression for the achievable rate. The performance of the proposed Low-Resolution Aware MMSE (LRA-MMSE) receiver and AGC algorithm is evaluated by simulations, and compared with the conventional MMSE receive filter and Zero-Forcing (ZF) receiver using quantization resolution of 2, 3, 4 and 5 bits.