Depends if the countered spell required a slot to cast
No, if the spell did not take a slot to cast
Some classes, such as Warlocks and Monks, can attempt to cast spells without using spell slots. But counterspell still has the potential to stop those spells. Also, counterspell could counter a spell cast as a ritual, in which case, again there are no spell slots involved.
For those reasons you won't find any reference to spell slots in the counterspell text.
Yes, if the countered spell required a slot to cast
If a caster does rely on spell slots to cast a spell, and their spell is countered by counterspell, then yes the slot is expended. That is my interpretation based on the following.
When a character casts a spell, he or she expends a slot of that
spell's level or higher, effectively "filling" the slot with the
spell. (PHB p.201)
The spell is still cast and the slot is filled whether the spell has an effect, or "has no effect." It is the casting of the spell, not the outcome of the spell, that causes the slot to be used.
The word "interrupted" has no effect on the interpretation. When you make an opportunity attack on a creature leaving your reach, the same language is used. Your OA "interrupt[s] the provoking creature's movement" but it does not end the movement. Likewise, counterspell does not end the casting of the spell. It only negates its effects.
I found a few more references to support my interpretation:
Spells cast within the slave pen have no effect, and
any slot or magic item charge expended to cast such a spell is
consumed (Out of the Abyss p.15 )
...A slot expended to cast a suppressed spell is
consumed (PHB p. 213)
These are just two examples of magic causing the casting of spells to fail or have "no effect" just as described in the counterspell text.
The important part is in the description for counterspell:
You attempt to interrupt a creature in the process of
casting a spell. If the creature is casting a spell of 3rd
level or lower, its spell fails and has no effect.
Emphasis added by me to point out that you aren't preventing the spell from occurring with counterspell- you are preventing it from succeeding. The action is still used, the spell slot is still gone- and Mage Slayer doesn't care whether the spell actually works, you can still attack as a reaction.
Creature spells fall under either Spellcasting or Innate Spellcasting.
These abilities reference to and are thus clearly linked to spells, which means they can be counter spelled due to the use of the word Spellcasting in their functionality.
An example of a creature with the SPELL CASTING trait would be a Lizardfolk Shaman. This creature can be found in the MM pg. 205.
An example of a creature with the INNATE SPELLCASTING trait (spell like abilities) would be an Ice Mephit in the MM pg. 215; or a Glabrezu in the MM pg. 58. Innate spellcasting functions differently in that it isn't limited to spell slots, and doesn't cost material components. So it's a spell-like ability, but can be counter spelled.
An example of a creature ability that is not a spell but seems like one is the Succubus/Incubus in the MM pg. 285. The abilities these creatures have don't fall under spells, meaning you can't Counterspell a Succubus Charm ability. This action is an ability much like a Barbarians Rage or a Druid's Wildshape.
And specifically, a Beholder does not use either Spellcasting or Innate Spellcasting, meaning it's eye stalk death beams of glorious carnage are an awesome, awesome, ability.