The winger helped the Foxes move up to third in the Barclays Premier League standings with a 3-2 win at West Brom on Saturday.
Mahrez hit two second-half goals as Claudio Ranieri's side came from behind, with Jamie Vardy also scoring for the eighth game in a row.
The Foxes are unbeaten on the road in the league and have won 10 points from losing positions, and Mahrez does not want them to change.
"I am really enjoying playing in this team," he told the club's website
"We are playing attacking football, not staying behind (the ball) and that's the mark of the team
We have to keep going like this
Everyone is happy - the team, the players and the city.
"Away we have come back from two goals, one goal
In the first half we played very well
We spoke at half-time and said 'we can do it, we can make it happen'
We played like we do always.
"I was very happy to win, especially away
It was a difficult game and West Brom are a very good team
We played very well.
"I know Marc (Albrighton) has a very good foot - he can put the ball where you want
I believed on his cross
I am happy but the most important thing is the team."
Albion missed the chance to record three straight wins for the first time since 2012, despite Salomon Rondon's opener and Rickie Lambert pulling one back by converting a late penalty - his first goal for the Baggies
Winger Callum McManaman now wants to focus on hitting back
"We almost grabbed an equaliser at the end, but unfortunately it never came," he told the club's website.
"We have a massive game next weekend at Manchester United to concentrate on now this week
We won there last year so hopefully can do that again."
Source : PA
Source: PA