Having finished the league campaign 19 points behind Pep Guardiola's title-winning Manchester City, United are looking to collect a piece of silverware in their final game of the season when they face Chelsea in the FA Cup final at Wembley Stadium.
"It will be our last game of the season - if you win that, you finish on a positive note and you go into the next season feeling confident, ready to go and ready to battle again for the title," Jones told the British media.
"I really don't think we're far away. In another season we might have been challenging. Sometimes you've got to hold your hands up and say that Man City have done ever so well to win the league this year.
"They've competed well in every game and won games where you're thinking they probably would have drawn. I think winning the FA Cup and going into next season will be good for us."
"We're moving in the right direction," the 26-year-old said.
"We'll always have our critics because we're Man United and ultimately it's been like that since I've been here, but it shows that we're moving in the right direction under him (Mourinho).
"I think finishing second and winning the FA Cup probably would be satisfactory for Man United but we always want to win more."
(Reporting by Hardik Vyas in Bengaluru; Editing by Christian Radnedge)