Before the first major test of Mourinho's second spell at the helm, Los Blancos have shown attacking dynamism the coach called "frenetic", but the Portuguese veteran acknowledged his team cannot shut the door on opponents.
Madrid trail unbeaten champions Barcelona at the top of the table by three points, after losing one of their six opening games and winning the other five, with Atletico third.
However they needed late strikes by back-up striker Carlos Espi to secure wins at Espanyol and Elche to cling to Barcelona's tail.
"The problem seems obvious to me. It's harder to know why, but it's easy to understand that there are matches that seem over and, in the end, aren't," said Mourinho.
"(There are) matches where we have three, four, five chances to finish them and don't.
"After failing to do so, it feels like we go from ease, because it seemed easy, to losing control."
Wily Atletico coach Diego Simeone will aim to punish Madrid if they take their eye off the ball in the derby.
Mourinho said his team's defensive issues were of concern for that game and beyond.
"Not just for Sunday's match, but for every match. I like my team to score goals... but I also like controlling matches," explained Mourinho.
"I don't like gifting control. It's not about the goals, it's about giving away control of the match."
Bernardo Silva is likely to start against Atletico after being rested against Elche on Tuesday, which could help Madrid take a firmer grip on the game, although Mourinho's squad does not seem ideally equipped to control matches despite a lavish summer spending spree.
"We're a frenetic side, who gets the ball back and accelerates," said Mourinho.
Madrid's team is defined by their star attacking trio of Vinicius Junior, Kylian Mbappe and Jude Bellingham, which effectively ensures they will play at great pace, regardless of the scenario, which can leave them exposed at the back.
Ceuta shirt fallout
Vinicius Junior is often jeered by Atletico Madrid fans, and that could be exacerbated in Sunday's away trip after the forward, along with teammates Kylian Mbappe and Ibrahima Konate, did not fully wear a t-shirt supporting the people of Ceuta.
The Madrid trio partially obscured a message on the shirt reading "we are all Ceutans", regarding the Spanish territory in north Africa affected by a migration crisis with Morocco.
LaLiga president Javier Tebas criticised the three players on Wednesday for not wearing the shirt properly ahead of Madrid's late win against Elche.
Mbappe said his decision to roll up the shirt was to make a gesture in support of immigrants who had lost their lives while trying to cross the border, but also supported Ceutans.
Vinicius has been whistled by his own fans in recent weeks for poor goalscoring form, and he could not find the net again in the narrow victory at Elche.
Mourinho said he is waiting for the Vinicius that "kills" games and led Madrid to two Champions League triumphs to return, and Sunday would be the perfect occasion.
"The goals will come back, I can't miss so many (chances)," wrote Vinicius on Instagram after the Elche game, in which he spurned three good opportunities.
The forward has one goal this season, in contrast to Mbappe, who boasts eight across all competitions.
Mourinho hailed the lethal French striker as "not normal" and the red-hot Mbappe will see the derby clash as another opportunity to pick up votes in his Ballon d'Or campaign, as well as keeping the pressure on Barcelona.
Since Mbappe arrived in Madrid in 2024, the Spanish giants have failed to win a major trophy.
To stop Flick's free-scoring Barca, who have won LaLiga two years running, Madrid cannot afford to drop many points, let alone against Simeone's side.
The coaches clashed four times during Mourinho's first spell in charge, three of which he won, but Simeone's one victory came in the 2013 Copa del Rey final.
If Madrid take the lead at the Metropolitano on Sunday Mourinho will hope his side can heed his warnings not to let Atletico back in.
LaLiga
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