The 32-year-old winger spent five successful years at the Etihad Stadium, scoring 78 goals and providing 59 assists in 236 games and departed the club after winning 11 trophies including four Premier League titles.
Mahrez was regarded as an important first-team player under manager Pep Guardiola and he featured 47 times for the Citizens across all competitions last season as they won a historic Premier League, FA Cup and Champions League treble.
However, the Algerian was not selected in the starting lineup for a number of big games during the second half of the 2022-23 campaign, missing out on a place in the first XI for both legs of the Champions League semi-final with Real Madrid as well as the final triumph over Inter Milan in Istanbul in which he watched on as an unused substitute.
Mahrez has since expressed his disappointment over his lack of first-team involvement at a crucial period in Man City's history, and believes that along with the financial incentives offered by Al-Ahli persuaded him to seek pastures new.
Speaking to L'Equipe, Mahrez said: "I had two years left on my contract with Manchester City, I could have stayed. It was really me who decided to leave.
"I felt that this opportunity (to join Al-Ahli) would not come again. Maybe it was time to leave because I had spent five years at City and won everything.
"To be honest, I still have a taste of unfinished business. In the Champions League, I did not play the semi-final or the final. In previous seasons, I always started in the Champions League while always being impactful for my team.
"This last year, I couldn't say it went badly, but I have a bit of this feeling of unfinished business. I was offered four years in Saudi Arabia, in a Muslim country where I can definitely protect my family. There was also a new challenge and a new project, so I decided to leave. It wasn't a big deal."
Mahrez has insisted that he has "no regrets" over leaving Man City, even though both Guardiola and sporting director Txiki Begiristain made efforts to persuade the winger to remain at the club.
"Txiki Begiristain really wanted me to stay, and even Pep Guardiola," Mahrez added. "They made it clear to me. I weighed the pros and cons, and finally, I decided to leave. I don't regret it, I'm happy to be here.
"The level of the Saudi league is not bad. It's going to get better and better. It's a championship that I'm learning. Here, they have put the resources into recruiting the best players. There's definitely quality, I think it's just the beginning.
"Can we compare it to Europe? I don't think so yet. But at this rate, in the near future, they can be among the five, six or seven best Championships in the world."
Mahrez, who now plays alongside the likes of Roberto Firmino, Edouard Mendy, Gabri Veiga and Allan Saint-Maximin at Al-Ahli, has scored six goals and registered seven assists in 14 matches for the Royal, who currently sit third in the Saudi Pro League table.