In a wide-ranging interview carried in several British newspapers on Friday to promote a children's cancer charity, the Portuguese added that he would walk out on the English league champions if Chelsea's Russian billionaire owner Roman Abramovich ever ordered him to select any player.
Ukrainian Shevchenko, who moved from AC Milan during the close season for 30 million pounds ($59 million), has scored just three Premier League goals and opened his Champions League account only in Tuesday's home win over Levski Sofia.
"I play the best players at the time," Mourinho said.
"(Claude) Makelele, (Michael) Essien and Frank Lampard are untouchable because of the way they play, not because I love them.
"Michael Ballack is untouchable because the way he plays. John Terry is untouchable. Ricardo Carvalho, Ashley Cole and (Didier) Drogba -- they are untouchable.
"Sheva is not untouchable because of the way he is playing," added the manager. The ninth 'untouchable" was injured goalkeeper Petr Cech.
Mourninho said that 30-year-old Shevchenko needed to be given time to adapt.
"The way football is played in Italy and England is completely different," he said.
AMAZING PLAYER
"We have in Thierry Henry the best example of that. I know he's the best goalscorer in the last few years in this country, an amazing player, but he scored one goal in 12 Premiership matches when he first changed Juventus for Arsenal.
"We need to give Sheva time. I give him time. The good thing is that he is not happy with the way he is performing. If he was happy, we would have a problem."
Asked whether there was ever any pressure from Abramovich to play Shevchenko or anyone else, he replied: "Are you being serious?
"He would never do this. If he does this, it's because he doesn't trust the manager. If he doesn't trust the manager, he has enough money to sack me, to give me my compensation, send me home and bring another one in."
In other comments, Mourinho praised Arsenal's Arsene Wenger as a "fantastic manager, one of the best" despite being far from friends with the Frenchman.
"I have 200 percent respect for the work he's done over the years," he added.
Mourinho also suggested that English football should follow the example of France and Spain where major clubs had reserve teams playing in the lower divisions.
"I would love to see it," he said of the idea of a Chelsea 'B' team.
"I can tell you for sure that if it happened, players like (Lassana) Diarra, (John Obi) Mikel, (Salomon) Kalou, when they are not selected that weekend for the first team, they have competition to play in a different level.
"Like in Spain, they would not be allowed promotion," he added.
