Belgium international Courtois is currently spending a third straight season on loan at Atletico and has developed into one of the most respected goalkeepers in European football.
There has been speculation for some time about whether the 21-year-old will come back to Stamford Bridge in the summer to compete for a first-team spot with Petr Cech, or remain in the Spanish capital.
Fresh reports have suggested that Chelsea are keen to sign prolific striker Costa from Atletico and could use Courtois to try and strike a deal.
Mourinho refused to answer questions on Costa at his pre-match news conference ahead of Chelsea's clash with West Ham on Wednesday, but did indicate that Courtois would be returning to his parent club.
He said: "Courtois is our player, Diego is not our player, so I cannot speak about Diego Costa.
"About Courtois, I can, because he is my player."
Asked if he could see Courtois staying at Atletico, Mourinho replied: "No."
Mourinho is pleased with Chelsea's transfer business this month, which has included Manchester United paying £37m for Juan Mata and Kevin De Bruyne's £17m move to Wolfsburg, while the Blues have secured Mohamed Salah from Basel for £11m and also Nemanja Matic.
"We are happy with what we did. The Kevin De Bruyne (move) was expected," Mourinho added.
"He's a fantastic player but was an expected deal for us, and very good if you compare what Chelsea paid for Kevin a couple of years ago and the amount we made now.
"Juan was unexpected, and we answer immediately with Salah which we believe a 21-year-old boy in his time will be a good player for us."