Leicester City were beaten 2-1 by Arsenal at the Emirates Stadium on Sunday.
Mahrez was sacrificed by Claudio Ranieri after Danny Simpson was shown a red card in the second half of the contest.
Leicester brought Marcin Wasilewski on to replace Mahrez, as they looked to tighten up their defence, but Collymore felt that the withdrawal of the Algerian winger meant that the Foxes could not get out of their own half.
"When Danny Simpson was sent off, why was Riyad Mahrez sacrificed?" Collymore questioned.
"When you concede as much possession as Leicester did after the sending off, you must, must try to do everything possible to give your back 4 and midfield a breather. By taking off Mahrez, it left Vardy as the front man, which in turn saw every caught ball by Schmeichel punted up field in the hope that Vardy would get it.
"I think Mahrez would have been better to stay on to manipulate the little possession the Foxes had, find pockets of space and still try to create a threat . With Vardy alone, it was sprint or bust and Drinkwater/Kante were blowing hard with no rest."
Prior to Simpson’s sending off, Leicester had matched Arsenal at the Emirates Stadium and they had earned a lead to protect.
Jamie Vardy’s penalty put the Midlands side in front, but they game swung on the red card.
After Simpson was dismissed Leicester were almost camped out inside their own box, and Arsenal’s constant pressure eventually paid off.
The Gunners scored their first goal through Theo Walcott, before Danny Welbeck’s late header secured the victory - which reduced Leicester’s lead at the top of the Premier League table to just two points with 12 matches remaining.