Chelsea's strikers are yet to score in the Barclays Premier League this term - Fernando Torres is the only one to find the net this season, notching twice, while Samuel Eto'o and Demba Ba are still to find the target - as Lukaku has bagged four for the Toffees.
Lukaku last week insisted in a British newspaper he approached Mourinho about leaving Stamford Bridge temporarily, while the Portuguese said playing well for Everton and Chelsea was a different matter.
Now Lukaku, who signed from Anderlecht in August 2011 and spent last term on loan at West Brom, has suggested Mourinho should have told him to stay at Chelsea.
The 20-year-old told Belgian newspaper Het Nieuwsblad: "The coach decides and as a player you have to respect that.
"I chose to leave and it's up to me to prove the coach wrong.
"The only thing I can do is play well and score a lot. And then I think people will say that I'm a good player.
"I want to score more goals than the strikers of Chelsea.
"We will see at the end of the season who made the best choice."