The decision to drop Casillas was described by the Portuguese coach as being a "technical decision," but the moved backfired terribly as Malaga shocked Madrid to take all three points at La Rosaleda.
"I'm not used to this, but before Casillas comes the team and this is not another speech," Casillas told Spanish TV station La Sexta. "The coach decides who plays. I have to keep training more with this healthy competition with Adan.
"Mourinho didn't say anything to me, he didn't explain anything. He doesn't give me explanations for when I do play, so then, neither when I don't.
"My teammates have all given me their support, just like we've all given our support to Antonio (Adan). Our results have not been so favorable, but the fact the two of us received the support of the dressing room is testament to the fact we all get along."
The news did not come as a shock to the 31-year-old though, as he had suspected during the week that such a decision would be made.
"During the week, I had a feeling I wasn't going to play, but it's no setback. What was important was [the result in Malaga] to cut the points difference between Barca and Atlético."
Casillas believes there is good competition between the keepers at Madrid and knows he needs to work harder to regain his place.
"I feel good and there is a healthy competition between Adan and me," Casillas said. "We must abide by the decision of the coach, and I must train a lot more to try to regain his confidence."
Former Madrid sporting director Jorge Valdano believes Mourinho was trying to make a statement with his decision.
"This was a show of power; he was wielding his authority on a club legend," Valdano told Cadena SER.