The Ivory Coast international was an unused substitute in Uniteds defeat at Wembley and hes started just five games since February.
Bailly watched on as Phil Jones brought down Eden Hazard in the box and the Belgian stepped up to score the only goal of the game.
Mourinho claimed earlier this month that he was picking certain defenders – namely Jones, Chris Smalling and Victor Lindelof – because he wanted to aid their bid to reach their countrys World Cup squad.
However, the Telegraph claim the United squad are bemused by Baillys omission against Chelsea and arent convinced by Mourinhos World Cup claims.
Bailly was Mourinhos first signing at Old Trafford when he arrived from Villarreal for £30.7m in 2016.
The Ivorian is a popular figure with supporters but his two years at the club have been blighted by injury.
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Uniteds defeat means they end the season trophyless and Mourinho will be under added pressure to take home some silverware during his third season at the club next term.
Mourinhos set to be handed around £150m to spend in the transfer market and he wants a centre-back, a full-back and a central midfielder to strengthen his squad.