"So I'm anxious because I'm not training [with everyone] and then I go to the Premier League without lots of players".
But, having seen the 25-year-old emerge as such a powerful presence for his country in France, Mourinho believes that can only be positive when he eventually returns to Manchester at the start of next month.
"I think that's the point about his performance level and his contribution to a winning team".
Manchester United kick off the 2018-19 season when they face Leicester City on August 10, which United boss Mourinho says does not allow sufficient time for players featuring at the World Cup in Russian Federation to rest and then recover their fitness.
"He's very sad. It's not good for him or me, not good for anyone", said Mourinho.
Jose Mourinho says "it is a shame" for the Premier League that the start date this season means many players at the World Cup in Russian Federation will not have enough rest time to be fit for the opening fixtures.
If Sanchez fails to secure entry to the US, United have a friendly at Bayern Munich on August 5 before their league opener against Leicester City at Old Trafford on August 10.
Jose Mourinho is hopeful Alexis Sanchez will still be able to play some part of their pre-season tour of the United States of America despite having been denied a visa to enter the country.
"It's time for me to show him over the next four weeks what I can do and why I deserve to be in this team".
Mourinho confirmed that new signing Fred will link up with the squad in the US next week but fellow new boy Diogo Dalot won't be available until September while he recovers from a knee injury suffered at the end of last season.
"Obviously the one I came back from after my injury I had problems, and the last two I haven't really managed to get a whole preseason together".
Meanwhile, new Chelsea boss Maurizio Sarri has spoken of his excitement at facing numerous world's leading managers now that he in charge of a Premier League side. "Maybe it's good for Luke Shaw, Eric Bailly, Andreas Pereira".
"The pre-season is very bad", Mourinho said. "Not ready for the start of the season, but I think ready for September".