Speaking after Friday's loss at the King Power Stadium, stand-in skipper Jake Wright admitted there was a feeling of frustration in the dressing-room.
Jamie Vardy headed the only goal of the game in the 66th minute, but the Blades had chances, two or three clear opportunities, that on another night could have easily gone in.
And with that in mind, the experienced defender remarked: "We're disappointed that we lost the tie, obviously Leicester are a top-quality side and they went very strong on the night, playing pretty much their strongest team.
"First-half we had a couple of chances and second-half we had some really good chances, enough to get something from the game.
"They had lots of possession but not too much in really dangerous areas. The game plan worked really well and although we should be proud of our performance, we are disappointed to have lost by a single goal.
"We're working really hard to try and achieve experience this kind of game every week.
"We've proved what we're capable of, we're just disappointed with the goal, it's a cross and a header, it's not like we've been carved open and we dealt with plenty of similar balls throughout the game.
"We take pride in the fact that we stayed in the game until the final whistle, we pushed and pushed and just couldn't find that elusive goal."