Reports had suggested that they wanted him in time to feature in the weekend's Premier League match with Burnley, yet the registration deadline for that fixture has now passed.
Nevertheless, Mourinho has confirmed for the first time that the Old Trafford side are in the hunt for the player.
"There is no point in trying to hide or deny, but it is not done at all," the Portuguese said.
"I think clearly everybody knows that we are there and especially when Arsenal manager speaks so clearly like he did."
Mourinho added that he has not been involved in any negotiations for the former Barcelona man, who is out of contract at the end of the season at the Emirates Stadium.
"I like to be out of them," he said. "I am out and I will just calmly wait for news, no more than that."
Additionally, the Portuguese confirmed that midfielder Henrikh Mkhitaryan, who is expected to go the other way in the deal to bring the Chile international to Old Trafford, will not be involved in Saturday's match with Burnley.
More to follow...