Manchester City fans witnessed a goalless stalemate against Dortmund last night.
The Cityzens missed a golden opportunity to secure a win on Tuesday night when Mahrez missed a penalty before the hour mark.
The Algerian winger has missed four penalties for Man City since the start of the year and this should be a concern for Guardiola.
Since Guardiola’s arrival at City in 2016, the Manchester City team missed 25 times across all competitions.
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Guardiola said: “We will see. Of course it’s a problem.
“Since I’ve been here we’ve missed 25 penalties – it’s too many. You always have to admire the courage, but missing so many penalties is a problem.
“We miss in Copenhagen, now here. We have to improve. It comes down to fine margins in this competition and these situations can make the difference.
“I admire [Mahrez’s] courage. Last season Riyad scores a lot in big moments, here (against Dortmund) in the semi-finals was important. If he feels it next time, he’s going to take it, but of course he’s got to improve.”