The Leicester City star was linked with a move to Arsenal on Saturday.
His performances did not go unnoticed, with several of the big European sides having been credited with an interest in his signature because of them.
Speculation increased this week as Eurosport reported that Arsenal had reached an agreement with the Foxes over a move.
However Mahrez was clearly not affected by the rumours as he scored a super solo goal in the win over Celtic in the International Champions Cup and Gray says that will remain the case because the Algerian is a top professional.
“He's a Leicester player, that's that,” Goal reports him saying.
“Obviously he got player of the year and we won the league, so you expect speculation, but he's a good professional and concentrates on what he does and produces like what he did today.”
It now remains to be seen whether Mahrez stays at the King Power stadium this summer.
It would not be surprising to see him make a move given how he set the Premier League alight with his performances last season.
A switch to the Emirates Stadium would come as something of a shock though given a player of his type is not one that the current Gunners squad needs.
Riyad Mahrez celebrates after scoring the first goal for Leicester