The former Southampton defender rejected a move to Chelsea when Mourinho was running the show back in 2014, but it's all water under the bridge now the two are together at United.
"We spoke about it," said Shaw. "He said it to me at first. I was just going to leave it, but he had a joke about it. There are no hard feelings.
"I just thought that I had a better chance of playing at United. Patrice Evra was leaving, whereas Chelsea had a solid back four that I knew Jose liked.
"So even though Chelsea were much closer to my home, I felt United were the better choice. I was never focused on the money. It was about football."