Mourinho signed off with victory over Osasuna.
Arbeloa told Gol Television: "Yes, it's a shame that Mourinho is leaving because he has given his life for the club. He has sacrificed a lot for this club, and he has suffered.
"He's always put Madrid first, ahead of himself and at the cost of his own image. I don't think that anyone at this club, including the players, could say the same.
"It's a shame that he hasn't been able to take more advantage of these three years by winning more titles."