“I want mercy, and not sacrifice.” Quoted from Hosea 6:6. See commentary on Hosea 6:6 for more understanding of the why Jesus quoted that verse. Also, he quoted it a second time under different circumstances in Matthew 12:7.
“I did not come to call the righteous.” See commentary on Mark 2:17.
“but sinners.” [For more on Jesus calling sinners to repentance, see commentary on Luke 5:32].