The Blues lost 3-1 to Atletico Madrid on Wednesday to miss out on a place in the final, but with the club still in the race for the Premier League title, Mourinho is eager for his team to finish the season on a positive note.
The 51-year-old told reporters: "That is life. The players come back like they have to. Obviously not champions but the feeling that they had a good campaign.
"We have two more matches to play and we have to do it in a professional way, try to win both to finish the season with a feeling of victory."
Chelsea will guarantee themselves a place in the top three if they beat Norwich City on Sunday afternoon.