CDR is very important, it's just hard to get in the items that Morde likes. You don't want Morello because it has Mana, you don't want to freeze yourself with a Zhonya when you're already so slow, etc. But since your durability is linked to the damage you deal with your spells, more CDR means more damage and more shield, so it's really a good stat to have. Getting your E back .5 s earlier and get 50% shield from it can often be the difference between life and death.
I also disagree with the previous post that says you can go anything from full AP to full Tank. Full Tank is horrible, you need at least 2 damage items in a full build. But you should consider some Tank items, especially if the enemy team is also tanky and you can't hope to burst them. Good items to consider are: Spirit Visage, for the increased healing on your W + CDR, Deadman for the movespeed+slow it gives. You can also opt-in for any of the MR+10% CDR if you situationally need them, including Abyssal since you deal mostly Magic damage.
All the hybrid AP/Defense items are also interesting, especially since most of them also give CDR. Protobelt is HP+Mobility, Banshee is MR+a spell shield that can block a critical CC and let you engage, Zhonya is a bit less enticing but still decent in some situation. Rylai/Liandry also have a decent amount of HP and good synergy with your kit.
Also, don't forget Sterak and Gunblade, you have decent AD ratios, and the highest base AD in the whole game, so you can actually benefit quite a lot from those 2 items. (I've also seen people going for a Trifroce once in a while, since it also works from base AD, but I personally would not recommend that, it's a super niche item for Morde.)