The German dominated the season-opening Australian Grand Prix, with rivals estimating that Mercedes currently has at least a second per lap in hand over the field.
But while revelling in his current car advantage, Rosberg is already anxious that the team avoids complacency.
Mercedes could only beat itself
In the team's previous Brawn incarnation, it dominated the early part of the 2009 season but then had to fight a rearguard action to ensure Jenson Button won the title as Red Bull closed in.
"It is early days, so there are still lots of things that can be done better," Rosberg told AUTOSPORT.
"We have to keep the momentum going and not let our rivals catch up. That is the most important thing: to keep pushing.
"When you have that advantage there is the possibility that you get a bit confident.
"It is a new situation for us and we need to make sure that we keep pushing, which I trust for sure we will.
"A lot of the people are still here from the Brawn days, and they know what it means to be at the front and to make sure that we stay in front and not get caught.
"We cannot fall asleep now. The rivals are going to be pushing like mad."
Gary Anderson: F1 doom-mongers were wrong
Mercedes was immediately installed as pre-season favourite when its pace and durability became clear early in testing, but the team went out of its way to play down expectations before Melbourne - a tactic Rosberg backed.
"What is the point of pushing everything [in the media] and then maybe stopping because of a reliability problem and looking like fools?" he said.
"It's better to keep things low.
"We were confident and now the pace is obvious.
"We are quick. We are the fastest car which is awesome. It is such a cool feeling. It is so great."
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