Two goals from Eden Hazard and one by Alvaro Morata saw Chelsea come from behind to earn a 3-1 victory over Newcastle United in the lunchtime match.
Opposition manager Arsene Wenger even reserved a compliment for De Gea, despite his clear frustration at the result.
That they didn't was a result of awful first 10 minutes, during which two defensive errors led to United goals.
Mourinho was then asked why he was not surprised, and said: "I can't answer to the second question".
Arsenal had a few more chances after conceding the third, but after Pogba was sent off in the 74th minute for a stamp on Hector Bellerin, United finally started defending with some goal, and limited the Gunners to half chances to see out the result.
"I just know that Paul is frustrated and a bit disappointed with this colleague, Koscielny, with this kind of reaction".
"Of course, they can say they had chances but we fought and we had a great goalkeeper too and I think we deserved it". We were too on the edge mentally maybe - you can not be in a game like that.
'But tonight, what makes you angry is that you produce that performance and in the end you have nothing to show for it.More news: Jets make Darron Lee inactive for game against Chiefs
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"I didn't see the tackle", Mourinho said.
The Frenchman deservedly received a straight red card and will miss three games, including next week's derby against City.
More: Watch De Gea's post-match interview with MUTV in the video player above.
De Gea made 14 saves - several of them exceptional - as Arsenal threw everything at United after conceding twice in the opening 11 minutes in a sizzling clash at the Emirates Stadium.
"In the second half we had to regroup and reorganise". Although Alexandre Lacazette pulled one back, Jesse Lingard netted a third for United. "David was wonderful. When they had the two or three clear chances David was there so we are very happy".
Arsenal boss Wenger added: 'He is an outstanding goalkeeper, I don't want to take anything away from him.