The Algerian scored 17 goals and provided 10 assists as Leicester shocked the world to win the Premier League during the 2015/16 season.
Mahrez then had an agreement with Foxes chairman Vichai Srivaddhanaprabha that he would snub all potential offers to remain at the King Power Stadium for one more season.
However, with Leicester's disappointing 12th place finish this past season, the 26-year-old had signaled his intentions to leave the club, with the Arsenal leading the race for the former PFA player of the year who is valued at £50m ($63.5m).
And according to Algerian publication Le Buteur, Mahrez would prefer a move to the Emirates Stadium due to his admiration of Wenger, who himself is notably a big admirer of the former Le Havre man.
Adding to that, the presence of French players such as Laurent Koscielny and Olivier Giroud is also a pulling factor along with the fact that he would get more game time than at other clubs.
However, the absence of Champions League football for the Gunners could swing in Chelsea and Liverpool's favour as according to the report, Mahrez's desire is to play in the prestigious European competition every year.
Wenger already confirmed his interest in Mahrez earlier this month but remained coy over whether he would make an official bid.
"We have not made a bid for him but personally I like the player, yes," The Frenchman told beIN Sports. "I think he had a huge impact at Leicester when they won the championship, like everybody else."
"It's been a different season this year but it doesn't take anything away from his qualities. Have we made a bid for him? No. Not yet. Not yet means it could happen, it could not happen."
With Liverpool recently confirming the signing of Mohamed Salah, it's uncertain if the Reds are still interested in Mahrez.
However, Chelsea could still be in the race as they seek additional cover for Eden Hazard, who is expected to miss the start of next season after undergoing ankle surgery.