The Algerian refused to train for ten days after a deadline day move to Manchester City fell through.
He scored his first goal since the saga with a 97th minute free-kick in Saturday's 1-1 draw with Bournemouth, and Mahrez is adamant he'll continue to put it all on the line despite his anger at not being sold.
"It was a difficult situation but, while I am here, I will give everything for the club - that's how I am," said Mahrez.
"I was very pleased with the way the fans have been with me throughout this. It was important for me. That's why I will keep giving everything for the club.
"It's for moments like this [the goal] that you play football. Never give up. It was brave but sometimes you have to be.
"Obviously, we didn't get the win but at least we didn't lose so that's the most important thing."