Losing the 25-year-old would be a significant blow for the Foxes, with Mahrez a key component in their unlikely Premier League title win last season, scoring 17 goals in 37 games.
And despite Claudio Ranieri now facing a maiden Champions League campaign next term, Mahrez admits he could move on.
Speaking at a Nike event he said: "It is flattering to hear [link with Arsenal], as I said nothing is agreed, nothing is done.
‘We will see… For the moment I have not made a decision. We will see."
Leicester City - Premier League Title Winners Parade
"It is possible that I stay, it is possible that I leave. We will see."
Another player set to make a decision on his Leicester future is striker Jamie Vardy, who has also been linked with a move to Arsenal this summer, with Arsene Wenger both players as ideal additions in building a side capable of mounting a serious title challenge next season.
Vardy is currently away with England for Euro 2016 and is expected to make a decision on his future after the tournament.