The striker was handed a three-match ban for violent conduct following his clash with Arsenal's Laurent Koscielny on Saturday.
Costa had denied an FA charge over the incident, not seen by referee Mike Dean, in which he appeared to raise his hands to Gunners defender Koscielny in the 2-0 win.
Earlier on Tuesday Arsenal defender Gabriel won an appeal against his red card for confronting Costa after the initial incident.
Chelsea have stated they are "extremely disappointed" and, after Tuesday's 4-1 Capital One Cup win over Walsall, a clearly unhappy Mourinho refused to land himself in trouble.
He said: "If I bring examples, if I go deep and if I bring feelings into the discussion a big suspension will be waiting for me and I don't want that. The team doesn't need that, the team lost an important player for three matches and I don't think they need to lose their manager.
"Every time you lose a player it's not good for the team. It's easier to accept an injury but this kind of situation goes much more deeper in feelings and the team is hurt.
"But now we know something, that retaliation is allowed now. No problem, you can do it."