Roma have reportedly had two bids for the Algeria winger turned down but are reported to be preparing another approach.
The Serie A club are reportedly readying a bid of €35 million for Mahrez, though Leicester's asking price is thought to be closer to €40m (£36m).
Mahrez told Sky Sports News: "I know Roma came in, but nothing was accepted so there is little I can do.
"They are a great club who I would like to talk to but I can't until Leicester accept a deal.
"Leicester know my thoughts, but I will continue to give my best for the club as I always have.
"Clearly, it is flattering whenever you get linked with any big clubs, but as it stands, I have not talked to anyone as nobody has had a bid accepted but we nearly have a month left of the transfer window so we will see what happens."
Roma are eyeing Mahrez as a replacement for Mohamed Salah after he left for Liverpool.
Mahrez scored 17 league goals and registered 11 assists as Leicester stunningly won the Premier League in 2015-16, however, he declined last season netting only six times and laying on three assists.