Mahrez played a key role in helping the Foxes secure a first-ever Premier League title in 2016, which earned him the PFA Player of the Year accolade as well as interest from some of Europe's elite.
While N'Golo Kante earned a dream move to Chelsea after winning the title, the Algerian had to wait two more years to secure a move to Manchester City.
"After the title, if I'd left for a top team, it wouldn't have been the same story," Mahrez told France Football.
"For me, it's clear that I lost two years at the highest level. I lost two years! Because instead of arriving at City at 27, I could have been there at 24, 25.
"Leicester blocked me. They told me: 'You're not leaving, you're not leaving'.
"My agent had spoken to [Arsene] Wenger who really wanted me. It was nearly all done with Arsenal in 2016. I was really frustrated.
"It wasn't easy to go from being the best player in the Premier League to being a part of a team fighting against relegation.
"It's not the same job. Everyone is waiting for you around the corner."