Are you sure it doesn't have two counter sunk screws holding them to the
hub?

Some rotors have 2 small shallow holes, with a screw thread, that
opens out onto the hub behind it. You screw in a bolt into the
hole, and it levers the rotor off the hub. Essential for getting
rusted rotors off, if you don't want to hammer your system to death.

Or heavy rust on the hub...

If you live in an area that has snow or regular rain, it's rust. The rust
grows to the point where it creeps behind the hub and clamps the rotor on
to the hub. Got exactly that problem right now with the left rotor on our
'99 Tercel.

This is the Tercel's right rotor, which eventually came off with lots of
wiggling and persuasion with a plastic mallet. You can clearly see where
the hub was scraping on the rotor's "top hat" as it slid off.
http://www.tegger.com/hondafaq/misc/rotor_hub.jpg
http://www.tegger.com/hondafaq/misc/rotor_rust.jpg

Get a 1# ball-peen hammer. With the small end, tap sharply on the side of
the "top hat", inboard of the hub. Whack, turn a bit, whack, turn a bit.
What you're trying to do is shock the rust into breaking off the inside of
the top hat. Might take a LONG time if there's lots of rust.

As it breaks loose, you'll start to hear it rattling around as you turn the
hub.

If your Mazda's hub is anything like all the Hondas and Toyotas I've seen
it's about 3/8" thick, with the top hat being about 1/8". When you strike
with the hammer, you want to do it in the place where you'll get maximum
resonance. You don't want the vibration to be transferred directly to the
hub.

By the way, make certain the hub surface is squeaky, shiny, silvery clean,
with NO trace of rust, otherwise your new rotors will vibrate right out of
the box!

Here's what the rotor looks like after I chip off all the rust with a
hammer and old screwdriver:
http://www.tegger.com/hondafaq/misc/rotor_rust_chip.jpg

And here it is, ready to reinstall:
http://www.tegger.com/hondafaq/misc/rotor_rust_sandoff.jpg

Cleanliness is critical!

Doe it have two-three-four small diameter, threaded holes in the
unswept, center part of the rotor?   I'm not familiar with the Mazda,
but a lot of front-drive cars have these holes.  You run bolts into 'em
and thus break the rotor loose from the hub, where rust and a wide
swath of tight metal-on-metal contact can form an impressive seal.

You might then have to keep cranking on the bolts and walk the rotor a
bit further outboard before you can pull it off.

This carries a lot less potential for collateral damage than just
bombing away with a   hammer -- and doesn't make the neighbors think
you've put the speakers in the window and put on the Anvil Chorus
again.

Sometimes you see that scheme on rear drums too.

By the way, W(ater) D(isplacing)-40 is better than nothing when
persuading rusty old machinery to see things your way, and is an
invaluable product to have around for other reasons, but proper
"penetrating oil" is best of all for this job.

Cheers,
--Joe

It's a bit of work. You have to remove the entire assembly of the
hub,knuckle,etc from the car. Then press the hub out of the knuckle.
Now with access to backside of the hub and rotor, you can remove the 4
bolts that hold the rotor to the hub.

If you want more detailed instructions email me, and I'll see if I can
scan the revelant pages from the '86 factory manual.