The west London side were thought to be closing in on a deal to sign Romelu Lukaku before the Everton striker completed a surprise £75m switch to Manchester United. "It's understandable", Mourinho said from United's training camp at UCLA in Los Angeles ahead of the pre-season firiendly with LA Galaxy on Sunday.
Chelsea are now being linked with Morata instead, but Mourinho says United did all they could to try to thrash out a deal.
The Italian is eager to add the 24-year-old to his squad although the two clubs are yet to reach a financial agreement.
Premier League rivals Chelsea are also being credited with an interest in Morata as manager Antonio Conte seeks to find his own new centre-forward after telling Diego Costa he is no longer part of his plans.
"I don't want to be disrespectful, we don't have our door closed, we are not happy with just Lukaku and Lindelof. I am nobody to speak about players from Real Madrid", Mourinho explained, as quoted by the Manchester Evening News.
"We have not come to an economic agreement, that is obvious as well".
"So maybe we don't get two, maybe we get one, but at least we need one player to give us a little bit more options".
"It's not my position to talk about a player who isn't in my team - and nor about a Real Madrid player". I cannot criticise Real Madrid and I can not criticise my club.
"I do not criticize Madrid and I am not going to criticize my board because my board has made the offer and they have tried to reach an agreement during a time, and they didn't come to an agreement".
"But I don't want to say Matic or any other name because I don't think it's correct".