The Spaniard completed a club-record switch to Old Trafford on Saturday evening and admitted his surprise that the West London outfit had agreed to sanction such a move to their Premier League rivals.
Speaking to ITV Sport ahead of the Blues' FA Cup clash with Stoke City, 51-year-old Mourinho said: "As I said before, we are not happy that Juan Mata left the club.
"We are just happy he is happy with his move, and from the business point of view, it was very difficult to say no to a fantastic situation.
"He is in Chelsea's history, and Chelsea is in his history. There is fantastic feelings between both, and we wish him good, but not so good as it will affect us."
Mata had started just 11 league fixtures under Mourinho this term prior to sealing a switch away from Chelsea.