Claudio Ranieri's side, which was a preseason relegation candidate, is five points clear of Tottenham at the top of the table with nine matches remaining.
Mahrez has been one of Leicester's star performers with 15 goals and 11 assists in his 28 league appearances and he stresses there are no nerves in the squad despite the Foxes closing in on what would be an astonishing title victory.
"We are just enjoying it," he told Foxes Player.
"There's no pressure, we are not nervous; we are just playing like we do always. The football goes quick – nine games left – we have to keep focused and concentrate on our game.
"We have to keep going like that because at the moment we are doing something very big and special and we have to keep our feet on the ground then see what can happen."
Leicester is at home to struggling Newcastle United next Monday, before it travels to Crystal Palace on March 19.
"We feel very good, not just me but everyone," added Mahrez. "I am very happy and I want to tell the fans to keep going and keep behind us."
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