Chelsea were knocked out of the Champions League at the group stage last season, causing them to drop into the continent's second tier competition which they won by beating Benfica in May.
"I don't want to win the Europa League," Mourinho told the BBC on Tuesday.
"If I win the Europa League it will be a big disappointment for me because I don't want to play in it.
"I don't want my players to feel the Europa League is our competition."
Mourinho, who won the Europa League's predecessor, the UEFA Cup, when he was in charge of Porto in 2003, said the Champions League was a priority.
"That's the only European competition we have to play and that's the European competition we have to give our best," he added.
The comments could be interpreted as a veiled dig at former manager Benitez, who was in interim charge from November and won the Europa League as well as leading the club to third place in the Premier League.
"The most important thing in football is to be the best team in the season and try to win your domestic league," added Mourinho.
"In our case, it's the most important league in Europe, so we have to try and be the best team and win the Premier League."