Mourinho made the statement shortly after arriving at Spurs, having managed Cole during his time at Chelsea.
"As soon as Spurs appointed him, it was exciting," Sessegnon said. "He's a big manager in the game, he's won things and as a young player you can only look to improve yourself under him.
"He's always talking to me, giving me pointers and tips where I can improve. He's a manager who obviously wants to win things which is one of the reasons why I'm here.
"It's flattering to be compared to someone like that, someone who I think is a great player and for someone like the manager to put my name in the same breath as Ashley Cole was big for me.
"It does give a lot of belief and confidence for upcoming games and it makes me want to work even harder to get more.
"I definitely had an eye on Ashley Cole when I was growing up. I was an attacking full-back, very aggressive but can also go forward and supply goals, assists and he was definitely one of the players that I looked up to."
Sessegnon has struggled with injury since arriving from Fulham in the summer and admits it has been a difficult few months.
Speaking ahead of Tuesday's clash with Bayern Munich, he added: "You always want to get off on the right foot so coming to the club injured wasn't easy for me.
"As it was my first serious injury, it was hard to go out and watch the boys train when all I wanted was to be involved.
"But it's part of the game, it's part of football, I'm back now so I'm raring to go and enjoying finally playing now.
"It's been a long time since I started a game of football, it's been about getting fit again really, trying to get my level back.
"That's what I've got to do now and hopefully get some minutes under my belt."