Mourinho, whose side is in Russia to face CSKA Moscow, described his players as playing 'Playstation football' after he was disappointed with their display during the 3-0 Champions League victory over Basel two weeks ago.
Some players may have taken offence to the comment but not United's, according to Mkhitaryan, who said the squad accepted that their performance was not one of their best, despite the positive scoreline.
"Everyone knows Jose Mourinho is very demanding and what he said is right," the Armenian said before United's clash with CSKA Moscow in Russia on Wednesday night.
"He didn't exactly say names, but everyone thinks he did some something bad or made some mistakes.
"We're trying to improve that aspect and be more focused during the whole game and not to start playing some fantasy football as he said or Playstation football in the last 20 or 25 minutes."
Mkhitaryan revealed he keeps a close eye on the Russian League, as United prepare to face CSKA, who beat Benfica in their Champions League opener.
"I watch a lot of CSKA games in the Russian league and they have a lot of experience in their team," he said.
"But Champions League games are very different to Russian league games and we expect them to play differently against us."