Mahrez scored a double against PSG on Tuesday to give City a 4-1 aggregate win in the semi-final.
City can also win the Premier League title if they defeat Chelsea on Sunday.
"It was a very good game," Mahrez told BT Sport. "We didn't start good again. We didn't have a very good first half but we scored the goal. In the second half we played very good and could have scored more. They lost their nerves and started kicking us.
"After the red card it was more comfortable for us. We were good in the counter, and that's how the two goals were. It is something we work on all the time, and today it worked good. Everyone had to contribute defensively, and that's what we did.
"We didn't concede much, and now we're in the final. We have a game on Saturday we have to win to be champions, and then we can concentrate on the final. Ah, finally!"