Martial has been linked with a move to Chelsea, Bayern Munich and Tottenham.
Martial’s agent, Philippe Lamboley revealed last month that the 22-year-old wants to leave United following unsuccessful negotiations over a new contract.
However, Metro UK quoted Mourinho after United’s goalless draw against San Jose Earthquakes on Sunday evening, saying “you cannot do whatever you want in life.
“I don’t know what his agent told you.
“You don’t always get in life what you want.”
Meanwhile, United have the upper hand as they have the option to extend Martial’s deal for a further 12 months until June 2020.