Just before half-time, Wily Boly looked to have opened the scoring for the hosts after a short corner routine but his close-range header was ruled out with Pedro Neto judged to be offside in build-up.
Leicester midfielder Hamza Choudhury was sent-off 14 minutes from the end of normal time after collecting two bookings in the second half.
Coady said, "It felt cruel at there place and it felt cruel tonight as well.
"We played great football, we gad a game plan to stop their threat and it worked for us to then create chances."
On the VAR decision, he also stated: "I don't want to speak too much, I've spoken before it doesn't really get you anywhere.
"I've said before, we should've won the game, I don't understand the decision and I don't think anyone else does.
"We should've won. They've got a brilliant manager and players, but we kept going and we'll take a point.
"Jamie Vardy is a brilliant player, you've got to concentrate for 90 mins. It's important to take the positives from the games."