Di Maria, 25, who played under Mourinho for three seasons at Santiago Bernabeu, says he wishes him the best in the future and believes the Portuguese has had a positive influence on his career.
"It was very sad when I learned he was leaving the club," Di Maria told Ole. "When a coach like him leaves an institution like this it's not nice for anyone. He sought his happiness and future elsewhere, and I hope he does well.
"I'm very grateful to Mourinho."
Although Mourinho's exit has clearly had an effect on the Argentina international, Di Maria insists he is happy in Madrid and says his future lies in the hands of the president and the next boss of Los Blancos.
"The decision as to whether I remain a Madrid player is between the president [Florentino Perez] and the new coach. They must decide if I am to play a part next season," Di Maria said. "I am very happy in Madrid. I live a quiet life with my family and my baby who was born a month and a half ago.
"I'd love to stay. I'm happy with my teammates and with the way I am treated here."
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