The Foxes suffered a surprise 2-1 defeat by promoted side Hull City at KC Stadium last weekend despite Mahrez scoring from the penalty spot in the second half.
England international Vardy turned down a move to Arsenal earlier this summer after the north London side activated the striker’s contract release clause.
Mahrez was also linked with a move to the Gunners in recent weeks before the Algeria playmaker signed a new long-term contract with Leicester earlier this week.
And Leicester’s two key men were in good form as Claudio Ranieri put his players through their paces ahead of the visit of Arsenal on Saturday evening.
The reigning Premier League champions lost home and away to the Gunners last season despite winning their first-ever title.
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