Mahrez made the switch to Ahly Jeddah last summer after spending five years at Manchester City.
Several reports suggested that he had fallen out of favor with City coach Pep Guardiola, who left him on the bench in the Champions League final against Inter.
"It was my own decision to leave," Mahrez told French newspaper Lequipe on Tuesday.
"I still had two years left on my contract with Manchester City, and I could have stayed. However, I felt that this opportunity might not come again.
“It seemed like the right time to leave after spending five years at City and winning everything.
“They really wanted me to stay, including Pep Guardiola. They made that clear to me, but I decided to leave. I have no regrets, and I am happy to be here."
The 32-year-old described the experience of the Saudi League as 'not bad,' but he acknowledged that it cannot be compared to the top leagues in Europe.
"The level of the Saudi league is not bad, and it will continue to improve," he added.
"I see it as a league where I can learn. They have invested in recruiting top players, and there is certainly quality.
“I believe it's just the beginning. Can we compare it to Europe? I don't think so yet. However, at the rate it's progressing, in the near future, it could be among the top five, six, or seven best leagues in the world," he concluded.
The international winger, who signed a contract worth $53 million per year, has already made a strong impact at Al-Ahli, scoring six goals in 14 appearances so far.
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