The Algerian, who handed in a transfer request at the end of the window, was the subject of four failed bids by Manchester City on deadline day, after which Mahrez missed two games for Claude Puel's side.
The 27-year-old, who netted a stoppage-time equaliser against Bournemouth at the weekend, has said that he is focused on working hard for the Foxes again.
"It was a difficult situation but, while I am here, I will give everything for the club - that's how I am," Mahrez told Sky Sports News. "I was very pleased with the way the fans have been with me throughout this. It was important for me. That's why I will keep giving everything for the club.
"It's for moments like [the goal against Bournemouth] that you play football. Never give up. It was brave but sometimes you have to be.
"Obviously, we didn't get the win but at least we didn't lose so that's the most important thing."
Leicester's next outing sees them face bottom club West Bromwich Albion at The Hawthorns.