Cristiano Ronaldo had given Real the lead but Diego Simeone's team hit back through Diego Costa before Joao Miranda headed home the winner in the additional 30 minutes.
The defeat at the Bernabeu Stadium left Mourinho to declare this season as the worst of his managerial career, as BBC Sport reported.
It is little wonder that the 50-year-old was left so dejected by the cup final defeat on Friday, which had been his opportunity to extend that sequence of silverware in his managerial career.
With Porto, he won the Portuguese Primeira Liga twice, the UEFA Cup and the Champions League. His feats at Stamford Bridge included successive Premier League titles in 2005 and 2006, while his time at Inter was crowned by the Champions League win over Bayern Munich in 2010.
At Real, Mourinho won the Copa del Rey in 2011 before breaking Barcelona's hold on the La Liga title in 2012.
Mourinho has been strongly linked with a return to Chelsea this summer, with current interim Stamford Bridge boss Rafael Benitez dropping the biggest hint of all that the Special One would be returning, as BBC Sport reported.
There is an old cliché in football that you should be wary of anyone who has just been hurt, and that aging maxim will be a catalyst to success wherever Mourinho plies his trade next season.
Chelsea midfielder Frank Lampard claimed in an interview with the BBC's Football Focus programme that the appointment of Mourinho can carry the club to greater heights after the Europa League win over Benfica on Wednesday.
There's no way he'll come back and rest on any laurels or rest on anything that happened before. With him at the helm we are going to give it a great go.
I think he will take the club on again. He has shown it with Porto, with us, Inter Milan and Real Madrid.
Like so many other Chelsea supporters and players, the prospect of Mourinho returning is a tantalising one and seemingly now within reach.
But this will be a manager with a point to prove after the disappointment of this season with Real.
Mourinho's team conceded the La Liga title with barely a whimper to Barcelona before falling at the semifinal stage of the Champions League for the third successive season under Mourinho, this time to Borussia Dortmund.
Premier League managers are gearing themselves up for the return of Mourinho with Tottenham manager Andre Villas-Boas, who worked under him at Porto, backing Chelsea to win the Premier League with the Portuguese coach at the helm, as the Daily Telegraph reported.
English football is bracing itself for the return of Mourinho, but this time he will be arriving on the back of disappointment rather than riding the crest of domestic and European successes he enjoyed in 2004.
Mourinho is a wounded beast, which makes him more dangerous than ever, much to the delight of Chelsea.