Mourinho indicated Morata had been one of United's top targets as the club prepares to return to the Champions League, but no agreement could be reached with Madrid.
"I don't like to speak about players who aren't ours, because Morata is not our player. I am nobody to speak about players from Real Madrid," Mourinho told reporters.
"Yes, we have had interest, that is obvious and it's public. We have not come to an economic agreement, that is obvious as well.
"But it's Real Madrid's right to ask for their players the amount of money that they want. We do not determine what the price is of a player of Real Madrid, Real Madrid do that. And we didn't arrive at an agreement with Real Madrid.
"I do not criticise Madrid and I am not going to criticise my board because my board has made the offer, and they have tried to reach an agreement during a time, and they didn't come to an agreement. It's simple."
While United missed out on Morata, the club snapped up Lukaku and made the striker the second most expensive transfer in British football history, behind only Paul Pogba.
Mourinho suggested Lukaku's Premier League experience and his personal relationship with the player from their time together at Chelsea were the primary reasons United sought to buy the Belgium international, the club also having been strongly linked with a deal for Antoine Griezmann before Atletico Madrid's transfer ban nixed the Frenchman's exit.
"He's the kind of player that everybody knows. He's a striker, so we're not speaking about a multi-functional player or [one who will] create doubts about positions on the pitch, he's a striker and normally strikers score goals," Mourinho added.
"The reason why he was so important and difficult to get is what he did in the Premier League. Obviously there are other good strikers in football but the Premier League is a very specific habitat, a different habitat. Normally they need some time to adapt and Lukaku plays in Premier League for the last four or five seasons.
"I didn't negotiate, it was Mr [chief executive Ed] Woodward who negotiated with Romelu, his agent [Mino Raiola] and the Everton board, the only thing I did was to call him when the situation was almost there just to guarantee him that he would be an important player in my team.
"It's quite a great experience the fact we worked together already for a few months and during the time when I was at Chelsea and when he was at Everton our relationship was always very close, despite it not working well for us together.
"He's intelligent, he's polite, we kept the contact, the feeling and now we are back together in different moments and I have no doubts it is going to work."