The 25-year-old Algerian winger signed a four-year contract with the Premier League champions this week and admits it is his pleasure to extend his stay at the King Power Stadium.
Mahrez, who won the PFA Player of the Year award as the Foxes took out the title, expressed his gratitude to the East Midlands club for giving him the chance to shine at the top level.
"I'm happy to continue my adventure with Leicester City," he told LCFC TV.
"It's been a pleasure to be here for the last two-and-a-half years, so I'm going to keep going here.
"I live day after day. I've achieved good things with this club. All the players have said congratulations. It's good - they are happy, and it is good to keep all the players in the team.
"It's important because last season we achieved the best thing we could in England. We've done an amazing season and it was important to keep the players to keep the same spirit as well.
"Our football has a lot of energy, so if all the players keep their mentalities right, I think we can do something good this year. I'm very happy to be here and I know the club is happy to sign me, so I thank them as well."