Ronaldo was reported to have wanted out of Spain after getting accused of tax fraud, and the red devils were among the favourites to sign him in the summer transfer window.
However, when asked about the likelihood of the move, Mourinho said it cannot happen due to the “economic difficulty” of doing the deal.
Mourinho was asked about signing Portugal captain Ronaldo after his side had beaten LA Galaxy 5-2 in the first match of their pre-season tour of the United States on Sunday.
“I am not going to get my club to waste time on players who are mission impossible.
“Ronaldo is such an important player for his club. A player of great economic power. We have not been able to find any reason that could have made us think that Ronaldo could leave.”
Another Real Madrid player, striker Alvaro Morata, has also been ruled out of trading a white jersey for a red one by Jose Mourinho.
“It is a shame,” he said.
“He is a player who made it to the first team with me and I have a special liking for. I enjoyed watching his evolution in Juventus and Madrid.
“But we have not reached an agreement with his club and I don’t think he can end with us.”