Mahrez looked all set to join the Citizens on January 31 as Pep Guardiola wanted a replacement for injured winger Leroy Sane, but he baulked at the Foxes' £80m asking price, prompting him to say he can't compete financially with Premier League rivals.
The Algerian international has since gone rogue, missing training sessions and with a potential £200k disciplinary fine being issued if it continues.
According to Sun, his teammates have seen the funny side, nicknaming him Viktor Narvoski from the film The Terminal.
Narvoski is Tom Hanks' character in the Steven Spielberg flick based around his failure to gain entry to return home back to the the USA after a military coup and instead getting stuck in the airport.
Mahrez earned the name after spending the entirety of the summer transfer deadline day in an airport waiting for a big club to come calling and has only enforced the nickname further after throwing his toys out the pram when his move to Manchester City fell through this window.
The 26-year-old is seemingly desperate to leave the Foxes in order to further progress his career and appears to be really down in the dumps after the latest set back.
One of his close friends said: "I was with Riyad today and he is very down and depressed. He understood that if a big club came in for him he would be allowed to go and realise his dream. Riyad thought he had that relationship with the club that he could be free to move and be recognised as one of the best footballers in the world.
“But over the last four transfer windows they have been asking for £45m, then £50m, then more than £80m. This is not fair on him. He is not interested in the cars and the money. He is not a flash footballer. But he wants to be the best he can be at the best club he can play for."
Leicester face Swansea at the King Power Stadium this afternoon (February 3) but manager Claude Puel has banished him from the squad until he clears his head out.