The North London outfit were close to challenging Leicester's top spot with two games left to go in the 2015-16 campaign after they took a 2-0 lead against Chelsea at Stamford Bridge.
However, they were eventually pegged back to 2-2, which handed the title to Leicester.
Mahrez and his teammates gathered at Jamie Vardy's house to watch the game, and celebrations soon ensued.
In an interview with FourFourTwo, Mahrez said: "The funniest moment [of last season]? I think it was when Tottenham were 2-0 ahead of Chelsea.
"All the team were at Vardy's house thinking, 'We're probably not going to be champions tonight'. I was like, 'What's the point of coming?!' and then 2-1, 2-2... it was funny."
This season has been a stark contrast to the last as they have won just three of their 13 Premier League games, which has left them 14th in the table.