Angel Lafita was Madrid's tormentor-in-chief, scoring two of Zaragoza's goals and winning the penalty that led to Gabi scoring the third.
Madrid had hit back from 2-0 and 3-1 down with goals from Sergio Ramos and Karim Benzema but they could not find a third, and they also finished the match with 10 men following Ricardo Carvalho's late sending off.
"Our opponents have fought a lot, for them the points were practically decisive for Primera Division survival. In football the difference in mental preparation is important, when one team goes out full of concentration and motivation and the other doesn't, the blame is the coach's, obviously," said Mourinho.
"The team was basically the same that played in difficult games in Bilbao and Valencia, where we won easily and by playing well. But today the coach hasn't been able to sufficiently motivate his players. In the first half we didn't play well.
"The second half was completely different, the second half was good but we gifted three goals to our opponents. They beat us and congratulations to them."