Riyad Mahrez resumed training with Leicester on Friday after failing to secure a move in the January transfer window but he is yet to publicly explain his absence.
The Algeria winger missed Leicester's last two Premier League matches and hasn't been training at the club.
"Riyad remains a greatly valued member of Claude Puel's squad and is focused, together with his teammates, on achieving further success," Leicester said.
Leicester on Saturday plays Manchester City — the team Mahrez hoped to join last month. The Premier League leaders did not meet Leicester's valuation. Mahrez last played in a 2-0 victory over Watford three weeks ago.
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"Leicester City were always aware of my whereabouts and had knowledge of my thinking either directly or via my advisers," Mahrez said in a statement published by Sky Sports and the Leicester Mercury newspaper.
Mahrez, who was voted Professional Footballers' Association player of the year in 2016 when Leicester won the league, has scored eight goals this season and has seven assists.