Mahrez, speaking with L'Equipe, revealed the players had a day off to celebrate defeating PSG in their semifinal before getting back to work.
He said, "After Tuesday's game, we enjoyed it.
"But the next day, we focused on Saturday's game, which will be a bit odd, because then we will find Chelsea in the final.
"We want to win to be crowned champions, but they also want to win, because they are in fourth place. I think the pressure will be more on them."