The Spain international was in the thick of the action all night on Tuesday and was fortunate not to be shown a red card by referee Michael Oliver when clashing with Liverpool defender Can in the 12th minute at Stamford Bridge.
Costa, who should also have had a penalty midway through the first half, also clashed with Martin Skrtel and Steven Gerrard during an ill-tempered affair but Mourinho insists Costa should be left alone to play football.
When asked about whether the striker could receive any retrospective action, Mourinho told Sky Sports: “No. Speak about Costa and the penalty that he had and was not given.
“Let Costa play his football.”
Mourinho was angered throughout the game by the officials as he thought Jordan Henderson and Lucas should have picked up second yellow cards although when asked about the contentious decisions, he refused to blame the officials in his post-match interview.
???If I speak, the FA will punish me as they always do so I think it’s better for you to do it,??? he added.
???It???s so clear so it???s difficult to accept. Even winning the game, I have to ask myself why? But the most important things is that we won.”
Despite the tempers boiling over throughout the semi-final, Mourinho still had time to praise Brendan Rodgers??? Liverpool for their performance over the two legs.
He said: “I think in the second-half today we were better than them and also in extra-time but I want to be honest with them and be fair with them.
“They were there. They are a very good team. It was great work by Brendan changing the shape and the model of play because the way they started the season was not going in the right direction.
“He was intelligent enough to create a new team. They are a very difficult opponent so I am even happier as we beat a very good team over two legs”
Mourinho added: “The group is happy. The group deserves a lot and the supporters were absolutely fantastic.
“The final at Wembley always means a lot. It doesn???t matter. FA Cup or League Cup, Wembley is Wembley.
“Wembley is history and the fans love to go and they pushed us for that. They were fantastic.”