The Irons had 31 shots on goal, but still ended losing 3-1 at the KPS as Jamie Vardy, Bilal El Khannouss and Patson Daka had the Foxes 3-0 ahead before Niclas Füllkrug scored a late consolation for the visitors.
Lopetegui later said: "We created a lot of chances, we shot 31 times on their goal and were in the opposition’s box a lot of times, but we didn’t score.
"It’s true that for me the first goal was key. We have to try to avoid this goal in the first minutes, but after this goal I think that we did all we could do to score, but we didn’t do it.
"Normally, when you do what we did, you are going to win the match, but we didn’t do that and it’s hard to explain. It’s hard for the players, for us and for the fans.
"To change this situation, we have to play as we did for 65 or 70 minutes with this attitude.
"In the second half, it’s true that in one moment when they went forward, maybe we lost our calm and they took advantage of more spaces and got their second goal, but even with the second goal I had the feeling that we could change the score. We didn’t do it and it’s frustrating and hard to explain, then they scored their third goal.
"Talking about football, it’s the only way that I know to change the situation, to create a lot of chances, to be able to play in the opponents’ half and to have this attitude.
"In this case, I think that we are going to be able, for sure, to change this situation."
He added, "When you are losing, you are going to concede more space and that’s what happened today.
In the meantime, I think we have been much better than them, had a lot of chances in the opposite box, but that’s the way it went."