Leicester City travel to north London to face Arsenal on Friday and with the injury problems that the Foxes face in midfield, Mahrez will likely feature for Leicester at the Emirates Stadium, according to Sky Sports.
Speaking to his club's website, he added: "If my memory does not deceive me, the last offer we made would make it the most expensive purchase in the history of the club".
"The player expressed what he wants publicly, but it's right that we respect his club". 'We don't want to sell our best players. Until we get a bid that is reasonable for us, then he stays here.
Mahrez claimed he wanted to speak to Roma but sources close to the player believe his preferred choice has always been to stay in the richest league in the world - with Arsenal, his No.1 option if they enter the fray.
"But what I've seen from him is a focused and professional attitude - as long as I see that he will be considered".
This news will come as a major boost to Wenger as Arsenal will now face less competition for Mahrez if the boss decides to give up on Lemar and focus his attention on the Foxes attacker.
However, Kelechi Iheanacho could make his competitive debut after returning to full training.
"But on a positive note, Kelechi trained fully after his little knock against Borussia Monchengladbach".
"The transfer window can get silly if you let it", he told a news conference on Wednesday.
Shakespeare says he's looking for a vibrant performance from his side who he says are raring to go.