"Last year we had the chance to sign him but we didn't take it and now we don't have any agreement with Manchester United".
Other big names in football have been accused of tax fraud in Spain recently.
Those include Real Madrid star Cristiano Ronaldo, who played under Mourinho and shares the same agent as him. During a wide-ranging interview in which the futures of Cristiano Ronaldo, Alvaro Morata and David de Gea were also discussed, he confirmed Mbappe is very much on the club's radar.
The cases are about the profits made from image rights, not salaries from their clubs.
Some reports have suggested Madrid are willing to part company with Bale, 27, this summer.
Both Ronaldo and Mourinho are represented by Portuguese agent Jorge Mendes.
A request for comment from Mendes' agency, Gestifute, was not immediately answered.
Ronaldo, 32, has denied the charges and is threatening to leave Spain after running into problems with tax authorities.
In a statement released Tuesday, the state prosecutor said Mourinho committed two counts of tax fraud in 2011 and 2012.
The investigation was opened after the Spanish tax authorities informed the Public Prosecutor's Office about perceived discrepancies in the data, with a Madrid judge now set to determine the next stage of the process.
Messi is unlikely to serve any time in prison as, under Spanish law, sentences of less than two years are usually suspended.
Mascherano was also convicted of tax fraud last year and was given a suspended one-year sentence.