If clubs with infinitely more resources than us win it all these years, yet we manage to finish consistently second above other clubs with also infinitely more resources than us, then yes, I would say that shows a winning mentality.
But that all depends on how you define "winning mentality." What is is it? Does it even exist, or is it just something that's thrown about after the fact with no real definition? I personally don't think it exists. What does exist, however, is self-belief, striving to get better, and never-say-die attitude. You roll all these together and, if you have the quality too, should expect to win every game. Of course you will not win every game and it won't be because you lack these attributes. And if it so happens that someone else bests you, it doesn't mean you lose all these attributes all of a sudden.
Now if you want to continue arguing about "winning mentality" go ahead. But it's like arguing about what is happiness or what is the best color. Totally pointless and will never get agreement from everyone.