Their defence of the League Cup is over, after losing on penalties at Stoke in the last-16.
The match had finished 1-all after extra time.
It's another low point for Chelsea this season – but Mourinho says everyone's sticking together.
Meanwhile, Arsenal exited the League Cup on the back of a painful defeat last night.
They were beaten 3-0 in the last 16 by Championship side Sheffield Wednesday.
Both Alex Oxlade-Chamberlain and Theo Walcott went off injured in the first half.
After the shock defeats for Chelsea and Arsenal last night, there's more action tonight in the fourth round of the Capital One Cup.
Managerless Aston Villa will visit St Mary's to face Southampton and Liverpool are due to host Bournemouth at Anfield.
Man City will take-on Crystal Palace at Eastlands, while Manchester United are at home to Middlesbrough.
Those games will kick-off at 7.45 – apart from the game at Old Trafford, where there's an 8pm start.
