Piotr Trochowski’s second-minute goal gave Sevilla victory as Real’s haul of just four points from four games represented the Spanish giants’ most damaging opening since the 2001-02 season.
Real are also eight points behind rivals Barcelona who won 4-1 at Getafe to retain their 100 percent record.
“I changed only two players at half-time, I wanted to change seven of them,” said Mourinho.
“What worries me more than the eight-point difference between us and Barca is that I don’t have a team at the moment.”
Cristiano Ronaldo was the centre of attention in the build-up to the game after he had claimed he was unhappy in the Spanish capital.
But Mourinho insisted that the turmoil surrounding the Portuguese star was not a factor in Saturday’s defeat, his team’s second of the season.
“I don’t think it has affected us. We played a similar game at Getafe and against Granada,” said the manager.
“It is more to do with a lack of concentration as a team. I think football is not the top priority for some in their heads at the moment, but I am the coach and so that is my fault.”
Real face another test of their resilience on Tuesday when English champions Manchester City visit the Bernabeu in their opening Champions League fixture of the season.