Mahrez scored in the 2-1 first-leg victory in Paris, and bagged a brace on Tuesday night to complete a 4-1 victory on aggregate.
PSG lost their discipline in the first leg, with Idrissa Gueye sent off for an ugly challenge on Ilkay Gundogan.
Man City winger Riyad Mahrez clashes with Neymar during Tuesday’s bad-tempered clash
And the French champions were reduced to 10 men in the second leg after Angel Di Maria was shown a straight red card for a senseless stamp on Fernandinho on the touchline in the 69th minute.
PSG defender Presnel Kimpembe was fortunate to escape a red card for a reckless challenge on Gabriel Jesus.
Mahrez said: ‘It was a very good game. We didn’t start good again don’t think we had a very good first half but scored a goal then we were more comfortable.
‘After the goal in the second half we played very good, we could score more then they lost their nerves and started kicking us, they had a red card and it was more comfortable for us.
Angel Di Maria was shown a straight red card for a senseless stamp on Fernandinho
‘I don’t think it was game plan to counter, they had to come at us sometimes they lose the ball they are good on the counter as well, we were happy with the second goal.
Mahrez capped a sweeping move started by goalkeeper Ederson’s 60-yard pass to open the scoring in the 11th minute.
Mahrez added: ‘[Ederson] We know he’s capable to put the ball to the other goal, its something we work on all the time – today it worked good.
‘When you play semi-final of CL you have to be solid – everyone has to contribute for the defence and that’s what we did, we were very solid today, didn’t concede much that’s why were in the final.’