And he said that becoming the first manager to collect Uefa's much-maligned third prize would make him proud.
Mourinho is one of the most accomplished managers in the game's history, having won 25 major trophies, including TWO Champions League titles with Porto and Inter Milan.
But he rushed into Leicester, determined to make history by becoming the first man to win a Uefa competition that had always been dismissed as a mere consolation prize.
"I regard this as my competition now," Mourinho, 59, said, insisting that winning Uefa's third trophy is not beneath him.
“I am not a member of the Champions or Europa Leagues.
I'm in it for the long haul, and I'm in it to win it. It's MY competition, after all!
"We must fight to the last finish since we have paid a high price for this competition and have lost points in the process."
Roma hasn't won a European title in 50 years, since the Anglo-Italian Cup in 1972.
"We deserve to be in the final," Mourinho said. "Roma as a city, Roma as a club, my players, the people who work at the club, for the work we've done this season improving at every level."
Football, unfortunately, does not always give you what you deserve.
"We have to defeat a very good team led by a very good coach and featuring very good players." To achieve our goal of taking Roma to the final, we must perform well in both games."
Tammy Abraham, a former Chelsea misfit, will spearhead Roma's attack and poses the greatest threat to Leicester's chances of reaching their first European final.
Since joining Roma for £34 million from Chelsea, the 24-year-old Londoner has scored 24 goals in 46 games, fuelling speculation of a return to the Premier League with Arsenal this summer.
"I was born and bred in England, so there are a lot of rumors about clubs being interested," Abraham stated.
"All I have to do now is keep focused on this competition and our league finish, and we'll see what happens in the future."
Mourinho is credited with Abraham's remarkable turnaround. "Jose is one of the best coaches the world has ever seen," he said.
He knows how to get you where you want to go. I needed someone to push me after Chelsea. He's always looking for more.
"Every day, I learn more about myself – now I want to go all out and win this prize."
In his early years as a coach, Leicester manager Brendan Rodgers studied under Mourinho at Chelsea.
"Jose has nothing to prove to anyone," Rodgers added. He has always been and will continue to be a winner." Jose was the guy everyone wanted to be like when I joined Chelsea in 2004, and he had just joined in the summer.
"Everything was about the players back then, but Jose Mourinho arrived to the UK as a European champion, and everyone wanted to be like him."
"He just had the X factor, and I can't say enough good things about him."