The fullback says the players were as upset as Mourinho over their poor start to the season.
"It is normal that the coach was not happy, and neither were we, we got out of this together, as always," said Arbeloa.
"The coach wants us to fight against every team, not just today or against Barcelona. We did it last year and what we want to do well on Sunday against Rayo. The relationship could not be better between the coach and the players, I mean that sincerely, everything is great at the moment."