Carlos Soler opened the scoring in Valencia's 2-1 win with Phil Jones' calamitous second-half own goal proving too much for Mourinho's side.
A late Marcus Rashford strike brought the Red Devils back into the match, but it proved too little, too late for Mourinho and Co.
However, Manchester United couldn't capitalise, much to the frustration of the Portuguese manager.
"We scored two and instead of winning we lost! But, jokes aside, we were too passive in the first half, comfortable but without intensity and ambition in the second," Mourinho told BT Sport.
"I was pretty sure after speaking at halftime things could be different but we started with an own goal and that gave Valencia a better condition to control the game.
"I made the two changes later and the team improved immediately and we started playing faster and arriving with link play in more dangerous positions.
"We got to 2-1. We should get to 2-2 because we had a couple of chances to equalise, but, I think we wasted the first half playing too comfortable and not with enough intensity."
The club finished the group stage on 10 points, having won three, drawn one and lost two in a group that included Juventus, Valencia and Young Boys.