Crystal Palace's 2-1 win at Stamford Bridge on Saturday means the champions are eight points behind leaders Manchester City after four games.
"Four points in four matches is a very bad start," said Mourinho, whose side won their first four games last season.
"In another league I would say game over. In the Premier League I don't say game over."
The Portuguese added: "We have eight points less than the leader.
"This is the Premier League and I think it's getting more difficult than before."
'Two or three far from good'
Goals from Bakary Sako and Joel Ward meant Chelsea suffered only their second defeat in Mourinho's 100 home league games in charge at Chelsea.
Radamel Falcao had equalised late on, scoring his first goal for the club, but a lack of concentration at the back soon after led to the Palace winner.
Mourinho refused to comment on individual performances, but accepted some players were below par.
"I'm not happy. I cannot say that I had 11 players performing at the same time," he said.
"Two or three of them, their individual performance was far from good
"I blame myself for not changing one of them. I kept him in the game for 90 minutes."
However, Mourinho refused to discuss whether he was talking about full-back Branislav Ivanovic.
"I'm not going to analyse individual form, individual performances," said the Portuguese.
"If a player is not performing there are two ways of looking at it. One way is that I trust so much the player that I'm going to wait for the improvement.
"Or even trusting the players arrives a moment where you think I have to change. I can go both ways."
Opposition have "sussed out" Chelsea
Match of the Day pundit Ruud Gullit, who managed Chelsea between 1996 and 1998: "Chelsea, at the moment, are not playing well. A lot of it is down to the opposition finding weaknesses.
"It is all on Chelsea's right-hand side, especially with Branislav Ivanovic as all the attacks are going through him. If Chelsea don't do anything about it they are going to have problems. The opposition are sussing them out."
'I hope we don't start buying players'
Chelsea have until 18:00 BST on Tuesday to reinforce their squad with any new additions, but Mourinho does not want his board to react by bringing in fresh faces.
Asked if a poor start to the season could lead to increased transfer activity, Mourinho said: "I hope not. I don't like that. I gave my club the season projection on 21 April. I don't think [the time is] now, on the 29 or 30 of August... to say I want this or that, or want to try this or that.
"We have to do better. Me and the players have to do better."
Palace 'deserved their luck'
Chelsea dominated possession but failed to create many clear-cut chances, although they had a claim for a penalty in the first half when Kurt Zouma's shirt was pulled by Connor Wickham.
Mourinho described it as a "clear penalty" but accepted Palace deserved credit for their performance.
"The first thought is to Palace. They come with everything. They were lucky but they deserve the luck," he added.
"My team, I think we deserved more. I don't want to say we deserved to win, because it's not true."
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