According to Algerian newspaper Le Buteur, the 25-year-old met with Gunners boss Arsene Wenger this week, where he shook hands on a proposed transfer to the Emirates ahead of the 2016/17 Premier League campaign.
The latest revelation follows just days after Foxes boss Claudio Ranieri suggested Mahrez's head had been turned by Arsenal interest.
Ranieri is determined to retain the services of last season's PFA Player of the Year, especially after seeing another key player in N'Golo Kante join Chelsea.
Leicester are said to be preparing an improved contract offer of £100,000 a week in a bid to retain the services of Mahrez, but the player seemingly has his heart set on a move to the London outfit.
Mahrez made 39 appearances in all competitions for the Foxes last season, bagging 18 goals and providing 11 assists.