The Algerian's move to Manchester City on deadline day fell through when the Foxes rejected the proposed cash-plus-player deal put forward.
Mahrez flew himself to Paris last summer to further his chances of completing a deal before the window shut. Similarly, the 26-year-old handed in a transfer request on Tuesday to push through a deal with City.
Of the mind that an offer would be accepted by Leicester, Mahrez didn't attend training on Tuesday and wasn't included in the match day squad for Wednesday night's clash with Everton.
Mahrez's friend told Sky Sports yesterday that he was 'depressed' after the City deal fell through, and it seems his sadness caused him to miss training on Thursday.
The Daily Mail report that this could cost Mahrez a £200,000 fine from Leicester.