City have made a superb start to their title defence, winning 13 of their 15 league fixtures to move two points clear of nearest rivals Liverpool.
Liverpool are the only other club yet to suffer a defeat in the Premier League this term, while Chelsea and Arsenal also occupy a top-four place.
A number of pundits have claimed Man City and Liverpool will battle it out for the title, but Mahrez says Chelsea and Arsenal could also challenge.
Of course, everyone in the top four can win the league, the former Leicester City playmaker told CityTV after Pep Guardiolas side beat Watford on Tuesday evening.
Nothing is done and we need to keep working very hard for each other and the team and trying to win every game.
Manchester City outplayed Watford at Vicarage Road and Leroy Sane gave the visitors the lead shortly before half-time.
Mahrez then added Citys second immediately after the break, before Abdoulaye Doucoure scrambled home a late consolation goal for Watford.
You are not going to win every game 4-0 or 5-0. Going through these types of games makes you stronger, Mahrez added. We played very well up until the second goal.
After that we created more chances and tried to kill the game but in football when you are 2-0 up and the opposition score, the crowd get behind them and its difficult.
We are very happy to win and get the three points. You are not going to win every game 4-0 or 5-0. Going through these types of games makes you stronger.
Now we need to focus every three days. We need to be ready and at our top.
Manchester City travel to Stamford Bridge to face Maurizio Sarris in-form Chelsea on Saturday.