"I only won one title on penalties. I always lose. I don't know why. If you ask me why, maybe because I don't take them or save them myself," Real Madrid coach said with a smile in an interview with Portuguese television station TVI on Thursday.
While at Chelsea, Mourinho was eliminated on penalties by Liverpool in the 2007 Champions League semi-finals and last season Sergio Ramos missed as his Real side lost to Bayern Munich in the last four.
His sides have slipped up in other shootouts and Mourinho said the only final he won on penalties, the Italian Cup showpiece against AS Roma in 2008, was thanks to a very particular set of circumstances.
"We won that match with (keeper) Julio Cesar facing a penalty from (Roma's) Juan who was his childhood buddy and he knew intimately," Mourinho said. "Julio Cesar told me before the match that if he faced Juan in the shootout he would save it.
"And on top of that, the guy who scored the winning penalty was Javier Zanetti, who took the first ever of his career," Mourinho added.
Spanish titleholders Real Madrid qualified for the Champions League last 16 on Wednesday after a 1-1 stalemate at Manchester City.
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