Rovers succumbed to a 3-0 loss at the King Power Stadium as headed goals from Chris Wood, Harry Kane and Andy King saw the visitors slip up.
Appleton wasn't best pleased with his side's defending, but after some stunning shutouts in recent weeks, he wasn't too hard on the defenders.
"It wasn't great," Appleton admitted after the game. "Leicester played ever so well on the evening, they made us work very hard right from the start.
"But the most disappointing thing is the manner of the goals, to concede from two set-plays and a cross, to give free headers in our own six yard box is very unlike us.
"However, it is hard to be too over-critical of our defenders because for many games they have been magnificent for us."
The manager felt that one of the key moments in the game came when the scores were level in the 24th minute. Kasper Schmeichel making an outstanding save tip the ball over the bar after Morten Gamst Pedersen's pile-driver deflected goalwards, with Appleton left to reflect on what might have been.
"That is the fine line sometimes," added the Rovers boss. "The first goal is absolutely critical, it doesn't matter what level of football you play at.
"If we had got that first goal then I think the lads would have gone on from strength to strength as confidence would have grown. But as it was, it was a fantastic save, you have to take your hat off to Kasper, he kept his side in the game and obviously they've gone on to get the first goal and the victory.
"Hopefully we'll get a reaction on Saturday, that is the biggest thing I'll be looking for.
"When we've not been particularly great and for whatever reason results haven't gone for us, I've always had a reaction off the players so that is something I am looking for at Ewood against Peterborough,"
Tickets for this Saturday's match will on sale right up until the 3.00pm kick-off priced from £15 Adults, £10 Seniors and £5 Juniors.