Mourinho only heard the news during his side’s Europa League fixture on Thursday.
Newsonline report that the Italian side lost 2-1 to Ludogorets on Thursday night, with news of the Queen’s death breaking just moments before the teams returned to the pitch for the second half.
Mourinho has spent much of his managerial life in the UK, having had two spells at Chelsea and also managed Manchester United and Tottenham.
Speaking to Sky Sport Italia, Mourinho said: “I am so sorry to hear this news.
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“I am not a foreigner in Britain, it is my home, my family’s home, we’ve lived there for many years.
“She was a wonderful figure. I don’t know anyone who didn’t have respect for her. She was a great lady as well as a Queen.”