The Manchester United manager attended a naming ceremony for Avenida José Mourinho in the coastal town on Tuesday.
Mourinho, 54, was honoured for his work in football, which has included successful spells as manager of FC Porto, Chelsea, Inter Milan and Real Madrid.
According to United’s website, www.manutd.com, Mourinho told reporters: “If you ask me, if I’m grateful, excited and proud, yes of course I am.
“But I still want to come to Setúbal and be who I am. I come to Setúbal because I love Setúbal. I have my mother and I feel closer to my father. I come to Setúbal because my children have never lived here and love Setúbal as much or more than I do.”