Mourinho targeted Xhaka in the summer transfer window before he extended his Arsenal contract until 2024.
The Swiss midfielder wanted to join Roma and work under Mourinho, though, according to club director Tiago Pinto.
He said: “The market is closed and today I have fun because we bought so many players but everyone asks me about the midfielder.
“Everyone knows we were after Xhaka, he wanted to come to Roma, but Arsenal didn’t release him. It’s my regret for this transfer market.”
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