Rose has been left out of Premier League and Europa League squads having failed to secure a move from Tottenham during the summer transfer window.
"Danny is not part of our squad," said Mourinho. "Danny wanted very, very much to leave in the January window last season. Why? Because he wanted to play and play and play.
"Then he went to Newcastle and I immediately had the feeling of being a player of his dimension that, thinking about the Euros, I thought our future would be [Ben] Davies and [Ryan] Sessegnon. Then we had the possibility to get [Sergio] Reguilon and I thought that would be a good opportunity for Ryan to get game time and develop.
"With Danny, the players and agents make the market. If the agent didn't find a solution for Danny to move then it's a question you have to ask him."