Defender Eric Bailly will miss the final through suspension following the straight red card he received for violent conduct towards the end of the 1-1 draw with Celta Vigo that saw United progress.
"I think it makes sense to say but I don't feel like that, I don't want the players to feel like that, I don't think the board feels like that because we work very hard".
He added: "We won a League Cup".
Mourinho shrugged off any disappointment surrounding a probable sixth-place finish for his EFL Cup winners - United have not finished lower since David Moyes' shambolic tenure in the 2013-14 season.
"We can win a trophy and by winning that trophy we can play Champions League next season, so that's the game".
"Last year we scored three goals away against Atletico to go through and their defence is very strong and this year we won 2-1 at the Bernabeu and they are almost in the Champions League final".
"I am not upset because we had to make that decision", he said about missing out on the top four.
"We have good things but, if I was on your side and you are always looking for these kind of capital letters, big headlines, I accept if you say that".
He accepts that because, especially, he has already played Europa League matches.
For Jose Mourinho's men though, they won't be thinking too much about sentimentality, hoping that they can put together a performance that gives them three points which keeps them in with an outside chance of reaching the top four in the English Premier League. They were playing the game of their lives and we knew that in advance.
"It was so difficult, so hard for me this season, so if we manage to do that it will be incredible".
"They are friends and they support each other all the time". But we are in the final - this is what counts.
Mourinho has in mind the line-up he would like to select on May 24 in Stockholm and will continue to rotate in the final two Premier League matches, having seen positives in defeat at Spurs.