The Algeria international struck the decisive goal at the KC Stadium on Sunday as Nigel Pearson's men recorded a 1-0 win, moving them to within three points of safety.
Mahrez's second goal of the campaign ended a torrid run of 13 games without a win in the league and the midfielder wants them to push on in the coming weeks.
"We knew the Premier League would be difficult," he told the club's official website. "We knew we'd lose some games, but we have to stay focused for the team and the fans.
"We have lost too many points this season, so it's a very good win [over Hull].
"We have to keep going in this way and the next game – Liverpool away – it's a difficult game."
Leicester will have to do without the 23-year-old in January, though, as he is expected to join up with the Algeria squad for the Africa Cup of Nations.
