United have agreed a fee with Arsenal and personal terms with Sanchez.
Mourinho had hoped to have the Chilean in place before this weekend and hand him his debut at Burnley tomorrow.
But Sanchez was forced to train with the Gunners this morning instead of heading north.
The hold up appears to be that Henrikh Mkhitaryan, who United are using as bait in the deal, has still to agree personal terms with the Gunners.
Mourinho said: “I don’t know why it hasn’t happened.
How Manchester United’s starting XI could look with Alexis Sanchez
GETTY
“I don’t know why it hasn’t happened”
Jose Mourinho on Alexis Sanchez to Man Utd
“My involvement in the situation is just to say that I like him as a player.
“There is nothing new. Everybody knows that we are there.
“Especially when the Arsenal manager speaks so clearly (about Sanchez) like he did.
MANCHESTER UNITED
“There is no point in trying to hide anything.
“But he’s an Arsenal player. I will speak with you if one day we sign him - about what he can bring to the team.
ARSENAL FC
“But at the moment there is no point because he is still an Arsenal player.”
Mourinho, meanwhile, has confirmed Mkhitaryan will not feature in his squad for the trip to the Clarets.