Mourinho is looking to secure the first trophy of his second spell at Stamford Bridge when his side tackle Tottenham in the Capital One Cup final on Sunday.
Chelsea have not won the trophy since Mourinho’s second League Cup success eight years ago – they were beaten by Spurs in the 2008 final.
Mourinho said: “Chelsea cannot win everything and cannot win every season. If you want to do that you have to change country and go to a country where the competition is not so hard and where to win titles is an obligation year after year after year.
“Chelsea in the last 10 years won the League Cup twice, but many times was at Wembley, winning FA Cups, (and) won Premier Leagues, won European competitions. Chelsea is doing very, very well.
“We try to build with this new generation of players and with this new team, try to make Wembley something normal for us. Normal in the sense that we try to go there year after year.”
The memory of Chelsea’s 5-3 defeat at White Hart Lane in December still rankles with the Chelsea boss and he knows they can ill-afford a repeat of the defensive frailities on display that day.??
He said: “When after 25 minutes you can be 2-0 up everything else is a consequence. Of course after that we made mistakes and we made defensive mistakes. Every time we were making a mistake we were punished with a goal.
“But it’s difficult to analyse a game where you started so well and after 20 minutes you could be 2-0 up.”