Former boss Carlo Ancelotti wanted to bring the out-of-favour 24-year-old to Stamford Bridge, but Mourinho did not allow the move to go through.
"The club communicated Chelsea's interest to me," he said.
"Chelsea is one of the great teams in Europe and of course it makes you feel great. But the manager told me he was not letting me go.
"He said I was going to play very little at Chelsea. I replied that the manager of Chelsea was Ancelotti and not himself."
Leon has joined Getafe on loan for the season.