After much contemplation, he chose to remain at the King Power Stadium, and it was the same when Tottenham Hotspur showed interest in January.
Arsenal is seemingly leading the chase to land Mahrez this summer.
There is simply no logic here, especially considering the Gunners will not be in the Champions League next season.
Elsewhere, Koscielny didn't rule out a move to Marseille after he was asked about the Ligue 1 club's reported interest in his services.
Wenger confirmed his interest in Mahrez in an interview with beIN Sports but said that a bid hadn't been made just yet, as his famous grin stretched across his face.
Mahrez scored only six times in the Premier League as Leicester, who replaced manager Claudio Ranieri with Craig Shakespeare in February, finished in 12th place. They play superb football and at the Emirates, he would be less tightly marked.
And while Mahrez believes he "should be leaving", he admits his future is up in the air.
On one hand, it could be looked at that Mahrez will take his game to the next level surrounded by great players and could be a very useful addition to the squad.
The former PFA Player of the Year declared his intention to seek pastures new last month with an honest social media post in which he stated his fierce ambition and wish to move onto a "new experience".
If Riyad Mahrez is on his way to the Emirates, it will certainly be a controversial decision.