The Argentine striker, who has scored 26 goals for Los Blancos this season, has been linked with a move to Paris Saint-Germain in recent months.
However, Mourinho insists that any potential suitors will have to meet the €150m buy-out clause in the 24-year-old's contract.
"Some people seem to forget players are owned by a club. [Higuain] will not be going to Italy, England or Germany unless someone pays the €150m. We want him to continue with us because he is one of the best strikers in the world," he said.
Higuain moved to the Santiago Bernabeu from River Plate in 2006 for £10m.