Musa joined Leicester City from Russia side, CSKA Moscow, for a club-record fee of £16.6million in July 2016.
The 27-year-old forward only managed two goals in 21 Premier League games for Leicester as he was behind Mahrez in the pecking order at the King Power Stadium.
“Before they signed me at Leicester City, they told me Riyad Mahrez was leaving,” Musa said on Instagram Live with South African sports broadcaster, Carol Tshabalala.
“If I knew that Mahrez is going to stay, I would not join Leicester, and I would have remained at CSKA Moscow.
“When I came, we had a lot of wingers at Leicester City, yet, I still got the chance to play.”
Musa finally left Leicester in 2018 to join the Saudi Arabia club, Al Nassr.