The away outfit took the lead through Zlatan Ibrahimovic.
They doubled their lead 12 minutes after half-time when Franck Kessie converted from the penalty spot.
Milan were reduced to 10-men when Theo Hernandez was sent off, giving Roma a route back into the game.
Roma halved the deficit in the 93rd minute through Stephan El Shaarawy, but they were unable to find a last gasp equaliser.
Mourinho was his usual passionate self on the touchline.
And his emotions got the better of him late on in the match at Stadio Olimpico.
Roma were searching for a late equaliser when Nicolo Zaniolo was penalised for fouling Kessie.
Mourinho, who appealed for a penalty moments before, was disgusted with the decision. He could be seen punching the air in fury before sprinting off the pitch.
Watch the moment below…
Mourinho really is something else.
He’s been a manager for nearly 20 years but still shows the same passion he did towards the start of his career.
Per Goal, Mourinho later cut his press conference short in fear of saying something that would get him in trouble.
Tottenham 0-3 Manchester United Reaction | The Football Terrace
“I am angry at the lack of respect shown to the Roma fans. We did not play well, but we left everything on the pitch. We have that respect, others do not, and that angers me. That is all.
“I don’t want to say anything else, because otherwise I won’t be on the touchline next week.”
Never change, Jose.
His side are now fourth in Serie A, having picked up 19 points from their opening 11 games.
They are 12 points behind AC Milan, who share the lead alongside Napoli.