The winger scored twice, once from the penalty spot, and Jamie Vardy and Marc Albrighton also netted as the Foxes cruised past the Black Cats on Saturday, giving new boss Claudio Ranieri the perfect start.
“We have to carry on,” Mahrez said: “When I’m playing in this stadium it’s like I’m flying. I’m very proud and glad to win the game.
“When you score two goals in the first 25 minutes you think in your head, ‘maybe the hat-trick’. I wasn’t selfish, I was thinking about the team and if it came it came. It didn’t but I’m really happy.”
Sunderland were blown away after conceding three times inside the first 25 minutes and boss Dick Advocaat insisted lack of summer investment was not to blame.
Jermain Defoe and Steven Fletcher at least spared some blushes with two second-half consolation goals. Summer signings Younes Kaboul, Adam Matthews and Sebastian Coates all struggled while Jeremain Lens barely made an impact supporting Defoe.
Advocaat said: “You cannot only buy players for £1 million, £2 million or £3 million. That was the mistake because we have a president who’s doing everything he can to help us to help the team.
“Saturday has nothing to do with the investment we made, the players were not in the right shape.”
Meanwhile, anti-racism organisation Kick It Out has contacted Leicester after a Sunday newspaper published a video allegedly showing striker Jamie Vardy abusing a Japanese gambler in a casino.
Kick It Out director Roisin Wood said: “If these allegations are proven, we would consider it to be a serious matter and would expect the club to conduct a swift and thorough investigation.”
Schmeichel, de Laet (Benalouane, 75), Huth, Morgan, Schlupp, Albrighton, King, Drinkwater, Mahrez (Fuchs, 77), Okazaki, Vardy (Kante, 82). SUNDERLAND: Pantilimon, Jones (Matthews, 54), Coates, Kaboul, van Aanholt, Cattermole (Fletcher 30), Johnson, Larsson, Rodwell, Lens, Defoe.