While Mourinho believed that England deserved to win the match, the Special One insisted that Dutch referee Danny Makkelie 'wouldn't sleep well' after his decision to award a penalty for Joakim Maehle's tackle on Raheem Sterling.
In the first half of extra time, the Manchester City forward drove into the box and was seemingly touched with minimal contact as the referee awarded a penalty.
The Danish players appealed to the referee and suggested there was no contact however after a VAR check, the decision was not overruled.
Harry Kane's penalty was saved by Leicester City goalkeeper Kasper Schmeichel, yet the rebound fell very kindly to the England captain, who dispatched the ball to give England the advantage in the tie.
Speaking to talkSPORT, Mourinho believed that this penalty should never have happened.
"Yes, amazing game, but I'm not sure you want to listen to my opinion," he said.
"I say the way I see it, not the way it is. Maybe you don't like my opinion this time...
"It's never a penalty. The best team won, England deserve to win. England was fantastic, but for me, it's never a penalty.
"The best team won, England are a better team than Denmark. Denmark played the way I was expecting them to play on to their limits.
"England was really, really good and no doubt they deserved to win that match.
"But, for me, it's never a penalty. At this level, a semi-final of a Euro I don't understand really the referee's decision."
Mourinho later said that he was completely bemused that VAR did not even tell the referee to look at the decision on the screen.
He added: "So, as a football man, I'm very happy England won -- don't get me wrong -- and I think they deserve to win -- don't get me wrong.
"But as a football man, I am disappointed that penalty was given. I thought England would win it.
"The Danish team was really, really tired in extra time. The players were absolutely at their limits.
"England had a fantastic bench to move like they did. They could even move more if they needed with the intensity of their play and their dominance in extra time.
"I thought England would win in extra time. As a football man, I'm not happy with that penalty.
"I would say to the Danish manager congratulations for what you did, but I would prefer to win in a different way."
Despite the Portuguese manager's grievances with the penalty, he does believe that England have what it takes to defeat Italy in the final on Sunday, which would end the country's 55-year wait for a major trophy.
Featured Image Credit: PA/talkSPORT
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