The Us took the lead at Stamford Bridge, as Scunthorpe did in the third round last season, but conceded three goals as the Blues eased into the last eight.
But Colchester had seen an effort come back off the woodwork before they took the lead, through a Ricardo Carvalho own goal, and were never overun by their prestigious hosts.
Mourinho said: "They should go home proud of what they did. They gave us a game. They played with courage. They were not afraid of us.
"They came to win, not to draw 0-0 and take us back to Colchester.
"Their crowd was unbelievable. They brought 6,000 and they believed it was possible. This is the only country in the world where that would happen.
"They also have a good manager and maybe in a few years they will come to Stamford Bridge in the Premier League. You never know."