The comments have fuelled rumours that Shevchenko will leave Chelsea in the summer.
Shevchenko joined Chelsea from AC Milan for £30million, but have netted just 13 goals for the Blues this season.
Mourinho said: “I hope Sheva is not happy with what he gave to this team.
“His season was not what everyone was thinking, including myself.
“Sheva is a Chelsea player. He has a contract and if he wants to try everything to improve, of course I want him to stay.
“But it is up to him if he wants to improve.”