The former Chelsea manager watched on the sidelines as his Roma suffered another home defeat.
Roma went into the game full of confidence, beating Ludogorets to qualify for the Europa League knockout stage.
Meanwhile, Lazio crashed out of the competition, meaning they went into the game as the underdogs. However, it was Maurizio Sarri's men who went home with the full points, courtesy of a strike from Felipe Anderson.
The Brazilian attacker capitalised on a mistake from Roger Ibanez to slot past Rui Patricio. It was Roma's second home defeat in the league as many games, but Mourinho insists Roma were unlucky in these games.
Speaking after the game against Lazio, the former Chelsea manager said Roma's city rivals were lucky in the game, although he admitted his side did not deserve to win the match, either.
"Roma lost the direct clashes undeservedly, Mourinho said after the game. Atalanta made a shot on goal and won. Napoli had the most difficulty in the game throughout the season. Today Lazio score half a goal and win.
They are undeserved defeats. Lack of quality, but the identity on a mental level is untouchable ".
Although Roma had a major share of the ball, Mourinho's men lacked quality in the final third, prompting speculations he could go into the market when the transfer window opens in January.
However, Mourinho insists it is not the time to say if Roma will spend in January.
"There is no need to intervene in the transfer market in January," Mourinho continued.
"We have to recover our players. I don't think Roma are going strong again on the market," he added.
Roma will get the chance to bounce back when they take on Torino on Wednesday.