Second-half goals from Diego Costa and Eden Hazard condemned the East Midlands side to defeat at Stamford Bridge, with Pearson claiming that his team played "exceptionally well" and were unlucky to lose.
The 51-year-old told BBC Sport: "We're disappointed. Key moments didn't quite go our way today.
"I thought we played exceptionally well in the first half but it's about taking your chances when you get them.
"There are more positives today than there are negatives. We're not talking about us coming to places like this and being happy to lose the game, but I think the players showed what they're capable of. What we need to do is sustain it for the entirety of the game."
Leicester slip to 14th place in the Premier League table, while Chelsea climb to the summit.