The engine is not breaking (that would be bad!) but the CX-5 does make good use of engine braking.
Similar to the iActiv AWD, the transmission control unit uses real-time data output from a lot of different sensors and runs those data streams through various algorithms to determine what gear to be in. If you are descending a hill it will be more likely to downshift earlier than if you are going uphill (as but one example). Another example would be if you have let off on the throttle and touched your brake as if approaching a red light then the transmission will downshift at a higher speed than it would have had you not touched your brake. This extends the brake service interval and extends your cruising range (mpg) because when the vehicles momentum is used to keep the engine turning, no fuel needs to be injected (assuming the engine is warmed up). When approaching a traffic slowdown I'll often touch my brake briefly to kick in earlier downshift which saves my brakes and increases mpg. Often, the traffic ahead will start moving forward so I can gently roll on the throttle and mesh perfectly behind the pack without having to actually come to a stop.
A driver with the bad habit of over-accelerating and needing to use the brakes to check speed when catching up to traffic in front will find this behavior irritating because it will be downshifting when you don't want it to. That's because they're sending ambiguous signals about their intentions to the control unit. Always ease off on the throttle at the appropriate time so you don't need to touch your brakes to check your speed (assuming you want to coast without early downshift). A good driver with a smooth, non-erratic driving style will experience the best results. For all others there is the manual shift mode.
IMO, this is the best automatic transmission I've ever driven, bar none. And I've driven a lot of them. It's an expensive transmission to be sure but all indicators are that it has good longevity, even when driven hard. Mazda put a lot of the cost of the CX-5 into the engine, transmission and chassis which is why I find it so ridiculous when people ignorant of these facts criticize the lack of creature comforts vs. the competition who uses engines, transmissions and chassis that are not nearly as expensive or sophisticated. And one drive is all it takes for an experienced driver to notice the difference.