French reports had claimed last week that the Algeria international had been subject to a £41.8m from Arsenal and was poised to make the switch to the Emirates stadium.
However, agent Kamel Bengougam has insisted that neither himself nor Leicester have received an offer for the winger.
Leicester fans hoping to hold onto the Algerian were further comforted by the sight of the 25-year-old in action for the Foxes as they beat Celtic on Saturday afternoon in the International Champions Cup.
Mahrez impressed for the Premier League champions and was named as man of the match after scoring a fine solo goal.
But despite talk of a big money transfer, Gray has insisted that his fellow teammate remains solely focused on Leicester.
“Obviously he got player of the year and we won the league, so you expect speculation," Gray said in the wake of Saturday’s game. “But he's a good professional and concentrates on what he does and produces like what he did today.
“There is a lot of speculation around him but he doesn't seem to be bothered by any of that, does he?
“He works hard and he's a Leicester player, that's that. We'll just do what he does, train and focus on games.”
Claudio Ranieri has similarly shrugged off talk of Mahrez’s departure as the Foxes prepare to defend their title and compete in the Champions League for the first time in their history.
“Maybe tomorrow he'll be worth £100million - it's good, keep going,” the Italian joked. “I understand speculation, but that's all it is.
“Did you see how happy Riyad looked? He played well, he worked so hard for the team, he scored a goal. He stays with us. Of course.
“For us it's very, very important to keep him because he is one of our stars. He is our fantasy – we can work hard but with him games change.”
Register for free to continue reading
Registration is a free and easy way to support our truly independent journalism
By registering, you will also enjoy limited access to Premium articles, exclusive newsletters, commenting, and virtual events with our leading journalists
Already have an account? sign in
Join our new commenting forum
Join thought-provoking conversations, follow other Independent readers and see their replies