The two teams meet in the second game of their group tonight at the Velodrome.
Mahrez said, "Marseille is a great French club. They have a history in the Champions League. It's a great team. I am a bit from France so I know. It's going to be a difficult match.
“The Velodrome is magnificent so it is sure to be even better.
"They will try to play their game like us."