"For me, he's not my rival," he told reporters. "I don't feel that. He's a manager of a big club in a city where I work and live with the same objectives.
"Because of that, there is always a bit of rivalry, but I don't see Wenger as any different to the Atletico manager when I was with Real [Madrid]."
Mourinho has gone 12 games unbeaten against Wenger.