After leaving Roma, he didn't go to the Saudi league, but Mourinho. If he really wanted to, he would probably be managing a team in the Saudi league now.
Mourinho receive offers from Saudi Arabia but he decided to stay with Roma and had unhappy ending in Rome. By refusing some good offers from Saudi Arabia when he was a head coach of Roma, he shown that he did not care much about money. Money is not his main concern and he wanted to do big things with Roma after winning Conference League with them and had one lost Europa League final match against Sevilla.
I also think that money isn't a priority for him, he has nothing to do with money if maybe he isn't happy. I waited to answer you to understand Mourinho's motivations a little, maybe he doesn't like the league or maybe he really loves staying in Europe. I honestly don't know the motivation behind this choice.
Mourinho still wants to enjoy football at highest level in Europe and is not ready to move to Saudi Arabia and take a management job in Saudi Professional League. He seems to wait for opportunity to be appointed as a head coach of Portugal. In the contract with Fenerbahçe, he added a special term which allows him to leave that club immediately if Portugal gives him an offer to become their national head coach.
Two examples are enough to show that Mourinho has bigger concerns than salary and money.