Mourinho had a successful spell with Inter Milan as he won a treble with the Nerazzurri before taking up duties at Chelsea and Manchester United.
The Portuguese trainer was sacked by the Red Devils in last year December and has since been without a club.
Before Inter appointed Antonio Conte, Mourinho was reported to have been contacted by the club's hierarchy as a possible replacement for departed Luciano Spalletti.
But Mourinho denied returning to the side he won the 2010 Champions League title with and has currently ruled out a return to the Serie A.
"My future? I don't think it will be in Italy," he told Italian TV show Tiki Taka.
Discussing on his exit from Inter nine years ago, the 56-year-old: "Inter is my home, my family.
"[Massimo] Marotti is a friend, my president. The story of the treble was fantastic.
"After [the final in] Madrid, if I returned to San Siro to celebrate, I would never leave Inter. When you say goodbye to a family it's a hard thing to deal with.
"That night I already knew I was leaving, I couldn't say no to Real Madrid for the third time."
Being at the helm after Spalletti was sacked, Conte has guided Inter Milan to a 100 percent start to the season, winning six out of six games so far with 18 points at the top of the table.
Inter Milan will hope to extend their winning ways when they face second placed Juventus on Sunday at the San Siro.
