The series has been released on Amazon, giving unprecedented access to the City players and staff.
"You can have a fantastic movie while respecting others," Mourinho told 'Sky Sports'.
"You don't need to be disrespectful to have a fantastic movie. You can be a rich club and buy the best players in the world but you cannot buy class and they showed that clearly, that was really obvious."
Nonetheless, Mourinho is still expecting City to be the favourites for the Premier League title, but he wouldn't rule his own side out.
"Last season we put ourselves in a difficult position, because to do better we can only finish first," he continued.
"When I read sometimes and watch sometimes it looks like we finished sixth or seventh and everybody did better than us. We finished second.
"Liverpool are trying to win the title with their amazing investment. Chelsea have a fantastic squad, Manchester City have a fantastic squad too, Tottenham made an incredible investment by keeping their players, that's the best investment you can make.
"They could be spending £200m but if they lose Harry Kane or Christian Eriksen. The biggest investment was keeping all their best players. Arsenal will be better even though they lost their first match."