The Giallorossi lost at home in a European competition for the first time in more than five years, despite taking an early lead through Paulo Dybala.
After Betis equalised shortly before the break, Luiz Henrique's 88th minute header ultimately decided the game.
An injury-time red card for Nicolo Zaniolo only added to the frustration.
“They were better than us on the ball tonight, especially in the first half," Mourinho said. "But we had more chances.
"We need to recognise that they are a really good side, and that they made things tough for us. But, having said that, the best chances fell to us and in the second half we wasted a number of good ones.
"Especially in the second half, where Bryan Cristante had a good chance and their goalkeeper made a great save. A draw would have been a fair result.”
Did you feel the side were a bit passive in the build-up to the Betis winner?
“Absolutely. For the second goal the side looked a bit tired. It’s a tough one to take, though, because the team did not deserve to lose.”
What about Nicolo Zaniolo’s red card?
“I did not see it. Pezzella should have already been sent off, but I imagine he must have done something to get it.”
What do you expect from the return game in Seville now?
“Coming top of the group isn’t our target anymore: they have nine points already and a home game against Helsinki to come. Now we have to focus on coming second in the group, that has to be our target. Obviously, with the risk of coming up against a good side from the Champions League.
"Obviously, if now you asked me if I would rather finish second in the group and face a side from the Champions League [coming down into the Europa League] or finish third and go into the Conference League, I would prefer the second option. That has to be our target."
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