Dortmund's win over Ajax means los Blancos qualify from Group D as runners-up, but the Portuguese has played down their failure to win the pool, citing his past European successes
Los Blancos had to beat Manchester City on Wednesday to have any chance of progressing to the knock-out rounds as pool winners, but Sergio Aguero's late penalty extinguished any hopes of them pipping Borussia Dortmund, who ran out 4-1 winners over Ajax, to the post.
"On two occasions I finished second in the group stage, I won the Champions League," he told Sky Sports.
"I finished behind Real Madrid with Porto and we won, and with Inter I finished behind Barcelona and won.
"The other times I finished first, I never won the competition. My experience proves that it doesn't mean so much.
"I think the teams that finished first did well, but after that they are waiting for an opponent who, in principle, are easier for them to overcome, only to discover that they get Real Madrid in the draw."
Mourinho then reflected on Madrid's 1-1 draw against the English champions and was disappointed not to have come away from the match with more than a point, despite a dominant performance.
"I think [we deserved to win], because we had plenty of chances to score the second goal, and if you do that in the first half, the match should be over early on," he continued.
"But we didn't score. They reacted and got the penalty that you on television are in a better position to judge.
"Arbeloa was shown a red card. Again, you are on TV and in a better position to analyse the situation. After that, we were in no position to win and we played for the point to progress to the next round."
The 49-year-old's previous club Chelsea sacked Champions League-winning coach Roberto Di Matteo earlier in the day, but while he sympathises with the Italian, he will offer his unrequited backing to former rival Rafa Benitez.
"That's football," he admitted. "I'm never happy when a manager is sacked because it can happen to me and it's a feeling that nobody wants to have.
"At the same time, everybody knows I like Chelsea and I'll support any Chelsea manager, the same way I supported Roberto and I wished him to do well. I'll do the same for the next manager."
Mourinho also had his say on the position of Roberto Mancini at Manchester City, and stressed that the Italian coach deserves his club's backing.
"Important clubs support coach until the end. I'm happy for him. If this was Madrid, the press wouldn't let him return to the city."