The Foxes led 2-0 after a first-half Okazaki double, breaking his 13-game drought, before Chelsea fought back to win 4-2 at the King Power Stadium in the third round of the league cup.
"Very disappointed abut this game because we lost," the Japan international told LCFC TV.
"He's a good player and we were disappointed. 10 against 11 is so difficult but we had 120 minutes of a good game.
"The two goals, for me was important because I'm a striker. I didn't score for a long time and I want to score."