It's strange because I would understand why he wouldn't want to manage Juventus, Bayern or PSG but the argument doesn't work if you have the opportunity to manage Lyon, Inter or Schalke. These are challenging opportunity since you are going to compete against at least one team better and richer than you are. That's why I have zero respect for managers and players that use that type of arguments, for me they are simply justifying the fact that they prefer to manage rich clubs, in rich leagues because it gives them an easier opportunity to win silverware and money.
If Mourinho was great and wanted to make a statement he would join an italian, german or french club and try to durably dethrone PSG, Bayern and Juventus.