The Lions had won on three of their last four visits to the King Power Stadium and did the double over Leicester in each of the last two seasons.
The closest Millwall came to scoring, meanwhile, was a 64th-minute header from Steve Morison that hit the bar.
Lomas said: "I was very disappointed. We wanted to hang in there which is why we had one up front and five in midfield.
"We started okay and we knew Leicester would come out of the traps and try to win the game early. We looked as though we had got ourselves into the game and then conceded a very poor goal to go behind.
"That was very disappointing but we got through to half-time and made a change by putting Steve Morison on up front.
"We started quite brightly, so to concede another goal from our corner when the ball goes into (Kasper) Schmeichel's hands was very disappointing again.
"We had warned the players about their pace on the counter so to be picking the ball out of our net five seconds later was a massive blow and was probably the end of the game as a spectacle.
"We have got to try and eradicate individual errors on the pitch. Thankfully David Forde was in fantastic form otherwise it could have been a lot worse, let's not make any bones about that."
- Sports & Recreation
- Steve Morison
- Jamie Vardy