Spurs were beaten 3-1 at Bramall Lane in a match overshadowed by VAR controversy as the visitors were denied a first-half equaliser when Lucas Moura handled the ball after being fouled in the build-up to Harry Kane's strike.
Although Kane scored a late consolation goal, it did not mask a dismal performance from Tottenham and ahead of Monday's Premier League home game against Everton, Mourinho did not hide his disappointment at his seventh defeat in 20 League matches since succeeding Mauricio Pochettino as Spurs head coach in November.
"I have to admit that I love to work with the guys during this period of the quarantine and when we started working together," he said at a news conference.
"They were fantastic, phenomenal in their commitment and professionalism. I just love it. I was really happy with many things in the games versus United and West Ham, and was disappointing for me the game against Sheffield.
"I refuse to speak again about the extraordinary situation that happened in the game and one of the reasons I refuse to speak more about it is because I was not happy with what I saw. There was a lot in the game, there was a possibility of shortening distances to Champions League positions, there was the possibility of being more stable for the Europa League positions fight.
"I believed in the evolution of the team and I thought that by a desire point of view, they put more than us. That's something that disturbs me. It's something that I feel, I don't know, that's my way of being -- it's something that destroys me a little bit on the inside because I think the last thing in football is when you have the feeling you could, you should do more.
"I always say it's not a problem for me to lose because my opponent is better, because my goalkeeper made a big mistake, because my striker missed two chances with an open goal, because some guy missed a penalty in the last minute.
"It is not a problem for me to cope with mistakes and defeats. It is a problem for me to cope with defeats when my feeling was we could do more, much more. So in this moment I am not happy.
"After [Monday] we have six matches to play and before the holiday period, which normally is a holiday period for the players but not for us coaches, as it is a period where we analyse everything and try to get the best decisions facing the future. But we have six matches to play and we have to fight for every point."
Dele Alli is a doubt for the game against Everton due to a hamstring issue which Mourinho revealed is a longstanding problem the club's doctors are concerned by.
"[There was] something today in training with Dele Alli," Mourinho said.
"When I say something it's because I don't think it's big and I don't really know what it is. The bad thing about a press conference 48 hours before the game is there's still a session tomorrow so you cannot know if he is available or not.
"[It is his] hamstring. Which is something that he had problems with in the past, in previous seasons, even in the beginning of the season. It is always something that makes the medical department think. We all think it is nothing important and if you ask me in this moment I would say he will be available. But I don't know."