The 30-year-old twice put his side ahead at the Emirates, only for quickfire goals from Aaron Ramsey and Olivier Giroud in the final seven minutes to see the Gunners over the line.
The result marked the third season in a row that the Foxes had unravelled in the closing stages and according to The Mirror, Vardy took out his frustrations on the tunnel wall after the final whistle.
Vardy then went on to be interviewed by Sky Sports News, saying: "This has happened to us the last three seasons here. We put ourselves in a commanding position and a few lapses in concentration have cost us."
Next up for Leicester is a home encounter with Premier League newcomers Brighton & Hove Albion on Saturday.