The victory was not enough for the Spaniards to go through as they went down 4-3 on aggregate, with goals from Karim Benzema and Sergio Ramos insufficient for Mourinho's men to progress.
"In football you win or you lose," he told ITV.
"I think we could (have won). We had a couple of big chances but as a consequence of the way we were playing in the last part of the match where we risked absolutely everything.
"I think today we were a team with character, a team with desire and we thought we could do it.
"I don't forget the first match and in the first match we were very, very bad and we have been punished because of the first leg.
"I am very sad with one of my favourite referees in the world, I am very disappointed. It is a red card for Mats Hummels, he saw it, everybody saw it but in that moment he was not a ref he was a human being. He thought 'if I give him a red card here, he misses the final'."