The Algeria worldwide was the subject of bids from Manchester City on Deadline Day, according to reports England. "It was a hard situation but we moved on, everyone - the club, players, me".
But the player has hit back at the assumptions made about his absence, and insists the club were always aware of his whereabouts.
When asked about the prospect of joining Manchester City, Mahrez replied: 'Well, Man City is a good move for everyone.
"It was hard, but I spoke with the players, I spoke with the manager, I spoke with everyone and everyone was OK, everyone was good", he said. "We had some discussions and we moved on".
"As my time as a football player comes to an end I would like to say few words".
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The 27-year-old's contract with Leicester runs until 2020 and despite his obvious desire to part ways with the Premier League club the Foxes have already proved that they are unwilling to budge on their valuation of the Algerian worldwide. I'm not saying I'm going to leave, I'm going to go. "So I don't want talk about the transfer window".
"You always have regrets, but at the time I thought it was the best thing to do".
"To be honest the club handled it very good as well".
Mahrez has also been linked with Chelsea and Arsenal.
"Now I'm moving forward, trying to give my best for the team, and that's most important".
Mahrez was coy and diplomatic when posed the question about his summer plans.