Anyone who thinks Conor isn't mentally shot needs to read the full quote. He talks about how much the loss bothers him, how it still continues to play on his mind and how desperately he wants a rematch - even going as far as to legitimately talk up the possibility of an MMA match, obviously taking Mayweather's pre-fight bluster comments at face value.
Like the great Tim Sylvia once said, "Half this game is 90% mental." The psychological aspect is important in all sports, but especially in combat sports. We see guys get mentally broke all the time in fights, and often it ruins them as fighters in the long run. Physically, they're as good as they've ever been; mentally, they're completely shot, devoid of any real confidence or swagger. That mental edge has been everything for Conor in the past, and now he no longer has it.