The Algeria international submitted a transfer demand as he sought a move away, but remained a Foxes player as the deadline fell.
Mahrez told SFR Sport: "My summer restless? It's life, we will not go back to things of the past. There were movements, it did not happen. But now we move on.
"We keep playing. I'm still in a good club. I am very happy here. It's up to me to make the difference, maybe, to go higher.
"To recover from my false start? It was very easy because I like this club. I knew everything here. I know I'm in a good team. A team behind me and I have a big place on this team.
"Maybe a disappointment not to be gone, but immediately after I got back into it. There was no time for adaptation."