Madrid head into Wednesday's last-16 second leg against CSKA Moscow as favourites after posting a 1-1 draw in the first match at Luzhniki Stadium on February 21, although the Spanish side will feel they should already be ahead in the tie after spurning a host of chances that night.
On home soil, few would bet against the runaway Primera Division leaders safely booking their passage to the quarter-finals, and the Portuguese talked up their chances of getting the job done.
"Our confidence is high and we fear nothing and no one," Mourinho told a press conference.
"It's always difficult in the Champions League because you face the best of each country, but we're not obsessed about anything and have no inferiority complexes of any sort."
Should Mourinho's troops have needed any reminding that there is no room for complacency in football, it arrived in the third minute of stoppage time in the first leg when Pontus Wernbloom made them pay for their profligacy by netting an improbable equaliser.
"Football is treacherous in its nature and always has room for surprises," Mourinho continued.
"The best team doesn't always win and the 1-1 score of the first leg gives us every reason to think the match will be difficult.
"Russian teams are always strong and know how to defend. I have experience against them and am perfectly aware of the difficulties we'll face, so I try to make my men aware of them also.
"There are no miracles in football, but there are surprises. If CSKA win it will be because they played a very good game or because we played badly."
Cristiano Ronaldo's first-half strike handed Madrid the lead in the first leg and the Portugal winger has called on the Bernabeu faithful to play their part.
Despite his 40 goals in all competitions for the club this season, Ronaldo's lack of popularity with some sections of the Madrid fans remains a problem.
However, the former Manchester United player has reported an improvement in his treatment in recent weeks, and knows the backing of the supporters will be key as Madrid chase both domestic and European glory in the final weeks of the season.
"I've heard the crowd sing my name in the last few months and I'm happy for their affection," Ronaldo said.
"We notice when the atmosphere is good during a match. I would like to ask fans to keep supporting us so that we win something this year all together."
Ronaldo also played down speculation over the future of Mourinho, who has been linked with a return to Chelsea following the dismissal of Andre Villas-Boas.
"He is going to continue," Ronaldo said. "He is going to continue with us."
Madrid will be without the injured Angel di Maria and Fabio Coentrao, while there was no place in the matchday squad for Hamit Altintop, Ricardo Carvalho and Jose Callejon.
CSKA have been boosted by the return of talismanic goalkeeper Igor Akinfeev ahead of the match.
Akinfeev has been sidelined by a knee problem since August, and although the match is likely to come too soon for the 25-year-old, Russian media report that his return has come as a lift to the whole squad.
Back-up goalkeeper Sergey Chepchugov is likely to retain his place, and he admits to being relaxed about the task ahead, telling Sport-Express: "I am in a good mood and we are working hard."
CSKA coach Leonid Slutsky, who is sweating on the fitness of Japan international Keisuke Honda (thigh), admits that he side are huge underdogs ahead of the return.
"There's a low probability [of victory]," he told Sport-Express. "But sometimes miracles happen, and we hope that we will be able to produce a miracle like that."