Frank insists they were the better team after halftime.
He said, "We were the best team after the break, and on a day when it failed for us, we could have got one point.
"We have played against Leicester twice and three of their goals were world class goals in the top corner.
"We need some of the margins not to go their way. Leicester were the best in the first half. We were not brave or aggressive enough to push forward."
After the match, Frank also had a word with his fellow Dane in the Leicester goal, Kasper Schmeichel.
"I said to him 'What are you doing? How can you be so good?!'"