Despite being heavy favourites at the start of the tie, United failed to perform across the 90 mins and were stunned by their Spanish opponents.
Wissam Ben Yedder came off the bench in the second half and scored twice to stun United.
Romelu Lukaku scored late on to give United hope but it wasn’t enough.
But Mourinho refused to be critical of his players and said they did what they could to win.
Mourinho said: “We had good periods, we didn’t have great control over the game, but I can’t say there was anything wrong with my players and their intention to play.
“That’s football, we lost, but tomorrow is another day and Saturday is another match.
“I’m pleased the players aren’t hiding their sadness, but we have no time for drama.”