Much was expected of the former Inter Milan treble-winner upon his Serie A return, but his new side now have just one win in their last seven, with Mourinho again calling out his players.
Venezia had taken an early lead, but Roma appeared on their way to three points after a first-half turnaround that saw them 2-1 up with Tammy Abraham scoring again.
However, Roma dropped the three points in a second half collapse, with David Okereke's excellent effort sealing the win with 15 minutes to play.
Roma managed 27 shots during the game, with 11 on target, but three-time Premier League winner Mourinho was left fuming as his troops only managed to convert two of their chances.
"We created many opportunities, many half-chances and when you get into dangerous positions and don't make the right final ball, that is frustrating," he said.
"We did it about 20 times, with attacking players like [Jordan] Veretout and [Lorenzo] Pellegrini near the forwards, but we didn't make the pass.
"How is it possible to create so much and then not score?"
Mourinho then delved into potential conspiracy theories over the award of a penalty that allowed Venezia to level the score at 2-2.
"Another important part of the story is Venezia's second goal," he said. "I have to protect myself here and keep my feelings to myself over what is happening.
"I could've talked about the players who should've got yellow cards for tactical fouls, those are small details.
"I could say we had many chances to go 3-1 up, above all with El Shaarawy and it's difficult to miss.
"But the truth is we were 2-1 up and in control. What happened, for me… I don't want to say anything else.
"I prefer to just say it was a very, very important moment of the match. That is all.
"Maybe one day I will understand why certain incidents happen. There are things that stay hidden for years and one day I will understand them."
After the international break Mourinho will take on a familiar face in the shape of his former Chelsea striker Andriy Shevchenko.
Shevchenko has impressed so far in his management career, guiding his native Ukraine to the quarter-finals of Euro 2020 where they were knocked out by England.
Despite a poor spell under Mourinho at Chelsea, the former Milan hot-shot is still revered in Italy, and now returns to the country as the manager of Serie A side Genoa.
Former head coach Davide Ballardini was sacked at the weekend after a draw against Empoli that leaves Genoa winless in nine league games and 17th in the table.
But Shevchenko could well inflict more pain on Mourinho, who has also addressed his side's aspirations.
Mourinho said: "It's one thing to say we are worthy of fourth place, another to say we want to go for fourth place.
"Until it becomes mathematically impossible, I want to keep saying fourth place is the target. Roma finished sixth or seventh the last few seasons, the club made an effort over the summer, but it was more reactive transfer activity than building.
"I don't think this squad is stronger than last season. We lost a lot of experience, we had to bring in players to replace those who left, many of them lack experience at this level.
"As a coach with a three-year contract, this season can be a painful one for body and soul, but still a very, very important one for me to understand something I couldn't have understood before I arrived. I already know more than I did two months ago."