"We expected that we would win, but we have to keep our head calm", he added.
Coach of the Foxes, Djamel Belmadi made it clear on Saturday that his wards are aiming for the trophy and would like to pay Nigeria back for one after stopping Algeria from reaching the 2018 FIFA World Cup finals.
Prior to Sunday, Mahrez had never scored more than two goals in a calendar year for Algeria but one lovely strike of the ball changed all that, as the 28-year-old curled the free-kick beyond Daniel Akpeyi, sending his side into Friday's final and his fans into raptures.
"We have to work much more, we are young, our midfield is the youngest one, and (Wilfred) Ndidi, (Oghenekaro) Etebo and (Alex) Iwobi, they have to learn tactically, they have to make a better communication", said the German.
"I think we played too deep and didn't apply enough pressure on our opponents due to fatigue on my players and the quality of course of our opponents".
Nigeria and Senegal went through to the semifinals and VAR was straight into the spotlight on its debut at the African Cup of Nations on Wednesday.
"We made an excellent run in first half and we were fiercer in the second half".
However, deep into the second half, a handball appeal by Super Eagles was reviewed by Video Assistant Referee, VAR after which the referee awarded a penalty to Nigeria.
Having not beaten the Super Eagles on the pitch for almost 30 years, it appears to be a tall order for Algeria to defy the form book and go on to beat Nigeria in their Africa Cup of Nations semi-final on Sunday.
He managed to force an own goal out of Nigeria by whipping in a pacey cross.
There are 93 minutes on the clock and this free kick will surely be the final kick of normal time - we're either getting 30 minutes more or something special happens. "Now, they are solid", he said, referring to the Algerian side recently voted the best team in the tournament's group stage by the tournament organisers.
The game was level until Manchester City star Riyad Mahrez scored a magnificent freekick in the 95th minute of the game against Nigeria. "We played Senegal in a friendly before the tournament and Algeria certainly have the weapons to win it".
"It will be a close match", said Rohr of the final.