City are bidding to become European champions for the first time under Guardiola, who won the trophy twice with Barca in 2009 and 2011. Their quarter-final first leg is against Tottenham at the new White Hart Lane on Tuesday.
"I have a lot of Champions League memories from the era when Barcelona were shining," said Mahrez. "I always dreamed of playing in it, I reached this stage once with Leicester, now I hope we can go to the semi-finals and final.
"Winning it would be really incredible. I've always wanted to win this type of competition. If it's not this year, I think it will be next year. We'll have to beat Tottenham first and then we'll see. To be honest, it is normal for that to come into your head. You could win the Champions League and the Premier League, but you could also lose it all."