Losing 5-4 on penaties after drawing with Charlton 1-1 after extra time, Mourinho admitted afterwards.
“We were the best team,” he said.
“I want to give Charlton credit, they won and good luck to them, but we were the better side.
“We should have won the game in 90 minutes and again in extra time.
“But they fought well and I have no complaints.
“It’s not one of those days when I have to go into the dressing room and kill half a dozen players.
“We took the game seriously. I left out some players because some deserved to have a rest and I have to show faith in those I brought in.
“It was a shame about the penalties.
Robert Huth took eight penalties in training against three different goalkeepers and scored everyone - that is life.
“Maybe we should have gone straight to penalties after 90 minutes as we have a game on Saturday.
"We prepared well and gave it our best.
"Out of the four competitions, it was the least unimportant, but we wanted to win.
Charlton boss Alan Curbishley was delighted with the result: “My nerves held up,” he said.
“It was the first time in 15 years we have won two of these games in a row.
“I felt that it was going to be our night.
“Getting the quick equaliser was important - it gave us the boost.
“As for who was going to take the penalties, I have to say that I could only get a couple of names on the sheet.
Some of my obvious ones were substituted, I had to coerce two players to take them.
“Thankfully it did not go into a second round of kicks.
“Who knows what will happen in the next round, but tonight was for the fans.
“I only hope we can take this result into Saturday’s league game.
My side played superbly and Anderson was magnificent in goal.
“I’m sure that Chelsea would have preferred to lose tonight if it guaranteed that they would win their league match on Saturday - I would.
“The changes that Chelsea made did not weaken their team. We were positive to the end.