The 28-year-old was an unused substitute in the encounter as Pep Guardiola's side retained the cup title for the second time in a row at Wembley.
Following a goalless affair at the end of extra-time, the Citizens dispatched Chelsea via penalty shoot-out with Raheem Sterling scoring the winning spot-kick after Jorginho and David Luiz failed to convert theirs.
Despite not playing a role in the final, the Algeria international who notched two goals in the League Cup this term celebrated the win and sets his sights on more silverware.
"Happy with the cup but hopefully more to come," Mahrez tweeted.
Mahrez, scorer of 10 goals in all competitions this season, will hope to return to action on Wednesday when Manchester Cty continue their Premier League title challenge against West Ham United at the Etihad Stadium.
City are currently a point behind league leaders Liverpool with 65 points from 27 matches.