As a native speaker of German, I think the connotation sure exists in germanophone areas, but Mafia is more used as a generic term for organised crime. One could speak of Japanese, Chinese, Construction Companies or Car Maker Mafia (Bauwirtschaftsmafia, Autoherstellermafia) are used without the racist connotation.
Talking about the Italian Mafia, however, the impression that basically the whole country is run by the Mafia prevails with many germanophones. Even if differentiated between Cosa Nostra, Camorra and ’Ndrangheta, all are Italians are somehow suspected to be part of the Mafia. The blatant racism of the Hollywood-shaped US perception, however, is alien to germanophones. (At least I think so.)
