The Algerian winger admits he didn't know who the Foxes were initially.
The 25-year-old has been one of the stars of this Premier League season, scoring 14 times and setting up another 11 as the Foxes sit top of the table, two points clear of Tottenham Hotspur.
The Algerian joined City in 2014 for a bargain £400,000 from French side Le Havre - a fee which has the division's elite regretting that they were not the ones to snap him up.
When the Foxes made contact, though, Mahrez concedes that he was surprised to learn that the Leicester Tigers rugby team were not the only big sporting side in that city.
If not for the club's impressive facilities, however, Claudio Ranieri's side may not be enjoying the fairy tale season that they are.
"I didn't know Leicester. In France we didn't really [know them] because they were in the Championship. I thought they were a rugby club," he told Four Four Two.
'I was like: "I don't know..." But then I came here to see the facilities and they were good. I do not regret signing for them, it's the best club I've ever been at."
It is a big night for Leicester, who dropped two points in Tuesday's 2-2 draw with West Brom. Spurs could displace them as top dogs if they beat West Ham away, while Arsenal, who sit third, can bridge their six-point gap with a win at home to Swansea.