Lions winger Chris Taylor struck midway through the second half of a scrappy match to condemn the Foxes to their sixth defeat on the road this season.
"I see the game as a bit of a missed opportunity for us," Pearson said. "We did quite well in the first half but conceded a sloppy goal which is difficult to take.
"Going into the game, we thought we had a good chance to get something out of it but we couldn't find that bit of quality in the final third.
"But you've got to give Millwall credit, they played with great spirit and defended everything we threw at them.
"As soon as we created the opportunities our execution wasn't quite right and we couldn't open them up.
"We put them under a lot of pressure in the first half, but in the second half they came out with a higher tempo and made it difficult for us.
"We made too many unforced errors and allowed them to keep it in our half when really it was straightforward to clear the ball, but that happens sometimes."