Algeria international Mahrez was the star turn in the Foxes side that shocked the football world to win the Premier League title in the 2015-2016 campaign under Claudio Ranieri.
However, the Foxes struggled in their defence the following season and Mahrez sought a move away from the King Power Stadium.
Mahrez finally got his wish in July 2018 when he joined City for a reported £60million and he won a Premier League, FA Cup and Carabao Cup treble in his maiden campaign.
But the 28-year-old felt he should have been allowed to move on sooner.
Speaking to France Football, Mahrez said: "After the title-winning year, if I was in a top team, it would not have been the same story.
"For me, it is clear that I lost two years at the very highest level. I lost two years!
"Because instead of being at City at 27, I could have been there at 24 or 25. Leicester blocked me. They told me: 'You cannot go, you cannot go!'
"My agent had talked with [Arsene] Wenger, who really wanted to sign me, [and] it was almost done with Arsenal in the summer of 2016... I was really frustrated.
"It's not easy to go from being the PFA Players' Player of the Year to being part of a team fighting for Premier League survival. It's not the same job.
"Everyone is waiting on you and expects you to perform."