Manchester City have been heavily linked with a move for the Algerian this month and they offered £60million.
However, Leicester were holding out for a fee in excess of £90m, despite the winger submitting a transfer request.
Arsenal were also in the hunt, and reports had suggested that the player had bought a property in London.
Mahrez was left out of the Leicester squad for their 2-1 defeat away to Everton.
But Guardiola categorically stated that City will not be signing Mahrez after his side’s 3-0 win away to West Brom.
He said: “Mahrez is a Leicester player. I don’t talk about it too much.
“The transfer window is over so the guys who are here will finish the season.”
Guardiola however was keen to laud record-signing Aymeric Laporte, who made his debut against the Baggies.
He added: “Yesterday he made the first training session, just passed the ball, but today we saw how good he is.
“He made an amazing, amazing performance. We are so happy for him.”
City’s win leaves them 15 points clear of nearest challengers Manchester United at the top of the table after Jose Mourinho’s side who lost 2-0 away to Tottenham.