"My worry is this next race at Sochi has Singapore-type asphalt," the Austrian says. "So we have to work hard, stay competitive and then we are looking good, but you only look good when it is done."
If that sounds overly cautious given Mercedes' apparent dominance of last year's race, it shouldn't be overlooked that the circumstances were very different in 2014. For starters, Mercedes could well have been prevented from locking out the front row - Williams' Valtteri Bottas set fastest times in the first and second sectors on his final run in Q3, only to spoil his lap with a mistake in the third sector that left him 0.4s adrift of pole.
Pirelli too had a different approach, opting for a more conservative selection of medium and soft compounds - which proved so durable that the frontrunners all elected for single stop strategies. Rosberg stretched his own stint to an incredible 52 laps, notably setting his best lap right at the end.
Mercedes therefore have no guarantees that their 2014 form will carry into this weekend - and it is precisely that uncertainty that their rivals will be looking to prey upon.
"I think there's always a chance on Sunday," says Sebastian Vettel, who, like Rosberg, hasn't abandoned his championship hopes, sitting as he does 59 points behind Hamilton and 11 behind his compatriot.
"It's not done until it's done. The chance is there - and what kind of racing driver would I be if I stopped believing? Of course I know it's difficult because the opponent is very strong. They are currently in stronger form than us, so it's not easy to turn things around when you are behind - but you have to keep believing otherwise I guess it's pointless rocking up and trying to fight."
Ferrari are also fighting to delay Mercedes' coronation as the 2015 constructors' champions - the Silver Arrows, already 169 points ahead, need to outscore the Scuderia by just three points to earn their second consecutive crown.
"Being realistic, I think it will be very, very difficult [to stop Mercedes], but who knows what's going to happen," Vettel reflects. "We have to do our thing and that's the maximum we can do. Everything else is not in our hands - it's probably in theirs."
Or maybe not, if Mercedes experience anything like the struggles they encountered in Singapore.
Red Bull should also be a threat. The former world champions are desperate for a good showing at Daniil Kvayt's home track, and the Russian's form last year - fifth on the grid for Toro Rosso - suggests a home podium isn't impossible. Moreover, amid ongoing discussions about engine suppliers in 2016, current partners Renault say they are now operating "a lot closer to the performance potential" - leaving director of operations Remi Taffin confident of a strong weekend in Sochi.
At Williams, one priority will be to get on top of recent problems during pit stops - especially if early estimates of a three-stop race prove to be accurate, while at Marussia, Roberto Merhi will resume his race partnership with Will Stevens as Alexander Rossi fulfils his scheduled GP2 commitments.
"Sochi is a circuit that suits our car with high power and drag sensitivities," says Rob Smedley, Williams' head of performance engineering. "We managed to have a good weekend last year from a performance point of view and we will be looking to build on this."
One of the key parameters every team will be analysing throughout the weekend is the condition of the track surface. New asphalt can change quite a lot in its first year, especially after undergoing winter temperatures - but Pirelli say that samples show that Sochi's characteristics have not changed too dramatically since the inaugural race.
"We're very pleased to be coming back for the second Russian Grand Prix," says Pirelli motorsport director Paul Hembery. "There were a number of question marks that we faced coming to the Sochi circuit for the first time last year - as is inevitably the case with any new circuit - but we have since been able to collect extra data that means we have more information for 2015. As a result, we have gone a step softer with the tyre nomination this year to help us get back into the two- to three-pit stop window, which is what we desire for every race.
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"However, both ourselves and all the teams are learning more about this circuit all the time, despite the advancement of simulation technology. The track has quite a wide variety of different corners, so it makes for a good all-round test for the tyres, with the drivers able to benefit from the extra speed of the supersoft this year."
At 5.848 kilometres, Sochi is the third-longest circuit on the current calendar, behind only Spa-Francorchamps and Silverstone. It also boasts one of the longest corners: the multi-apex left-hander of Turn 3, which is arguably the most critical in terms of tyre life given that it places huge stresses on the front-right in particular.
As was the case last year, the circuit will feature two DRS zones: the first is just after the apex of Turn 1, while the second is activated just before the right-hand kink of Turn 11 on the back straight.
Sunday's race will run over 53 laps or 310.262 kilometres (192.790 miles), and will start at 1400 hours local time (1100 GMT). The forecast for the weekend is for dry and sunny weather all weekend, with temperatures in the range of 18-21 degrees Celsius.