But Mourinho accepts it would "make sense" for the season to be viewed as a failure if United, who edged out Celta Vigo to reach the final, lose to Ajax.
Mourinho, 54, became the first manager in United history to win a major trophy in his first season when he claimed the EFL Cup in February.
"We did things nobody did in this club in the first season," said Mourinho.
The Portuguese guided his team to a record 25-game unbeaten run in the Premier League before it was ended by Arsenal on Sunday to dent their hopes of qualifying for the Champions League.
Mourinho believes his side, currently sixth in the Premier League, will not now finish in the top four so must win the Europa League to reach next season's Champions League.
When asked if the result of the 24 May final in Stockholm would determine whether United's season was a success or failure, he said the media "have the right to say it and it makes sense to say it, but I don't feel like that".
"We have these things, but [the media] are always looking at these kind of capital letters, big headlines," added the former Chelsea and Real Madrid manager.
"I probably work, this season, harder than ever. When I analyse, I don't think [losing the final would be failure], but if I was in your chair, maybe."
Sergio Romero is set to start for United in the Europa League final, with Mourinho saying there was "no dilemma" in sticking with the Argentina goalkeeper in favour of regular first-choice David de Gea.
Spain's De Gea, 26, played three games during the group stages but Romero, 30, has started each Europa League tie since the last-32 stage.
"I never saw in all my career two goalkeepers to be so friendly because it is a position when you always have a little bit of rivalry, especially if you are both the same kind of level," said Mourinho.
"I think it is fair Sergio is going to play the final and David accepts, because he has already played Europa League matches and if we win the trophy, David wins the trophy."Top of Form
Centre-back Eric Bailly will miss the final after being sent off late on against Celta Vigo, with Mourinho anticipating Uefa rules will not "allow any chance of an appeal".
He added that Bailly, 23, will now play in United's three remaining Premier League fixtures to "give rest to some of the others", with the final match at home against Crystal Palace three days before the Europa League final.