Yup, the ECU in the Mazdas has almost no self diagnostic capability. In the 515,000 miles I had my Mazda, it never ever had a code.
The light however will come on every 60,000 operating hours, then again at 20,000 hours after that. This a maintenance reminded light to get you to bring the vehicle in for service.
Under the dash, near the fender, you will find a single connector and 2 different wires it can be plugged in to. I believe one is white, the other is green. Whatever the color, you unplug the wire from the one its in now, then plug it into the other. That resets the maintenance light until its next cycle completes. Your light should now be off. I do recommend that you do perform the scheduled maintenance, or at least inspect all that the manual recommends inspecting.