The Portuguese manager was speaking to MUTV ahead of the Red Devils' 1-1 pre-season draw with Club America yesterday.
Hazard has always been linked with a transfer to Real Madrid and that speculation has heightened further this summer after the Blues missed out on a spot in next season's Champions League.
The 22-year-old's agent Philippe Lamboley has been a prominent figure in recent weeks, publicly confirming that Martial wants to leave the club.
Martial has been linked with a move away from Old Trafford after failing to become a starter for Jose Mourinho last season.
United have signed Fred, Diogo Dalot and Lee Grant this summer but there is a nervousness among fans that it will not be enough to overhaul City, who won the Premier League title by 19 points last season.
All this meant that the game was an opportunity for some players to make their first senior appearances for the club.
Mourinho said in a press conference shown on Sky Sports News: "Today it was (Anthony) Martial". 'You can not do whatever you want in life.
"He's very sad. It's not good for him or me, not good for anyone", said Mourinho. "Players like Anthony, like Marcus Rashford, Jesse Lingard, Juan Mata, Alexis Sanchez - they are all awesome players who can change games", the 28-year-old Spaniard was quoted as saying. "We're a group of players from different teams", said Mourinho, whose players are now looking toward three International Champions Cup friendly tournament matches against AC Milan, Liverpool and Real Madrid. I think in the first half we were the best team and had the best chances. The club does want to keep Martial with Ed Woodward interested in activating the one-year extension in his current contract but Mourinho doesn't want to keep a disinterested player.