The Devon outfit found themselves 15-0 down at the break after an array of mistakes against the champions and went on to lose 21-9 at Sandy Park.
"That is as disappointing a showing in the first half that I can ever remember in the Premiership," Baxter told reporters. "I don't mind the wins and the losses as such. You deal with those as they are going to happen, but you have always got to fire some shots and give yourself a chance.
"I said to the guys at half time that, if I was a supporter watching that, I would think we were afraid. When I say that, I don't mean afraid of the physical contest. I mean afraid to put ourselves out there and go for it.
"We showed in the second half how effective that can be, even against Leicester. The fact is we are sat here now disappointed not to have scored two or three tries with the pressure we had on their line. We have won the second half 9-6 and made it a real contest, but we have got what we deserved because of our first-half showing."
Chiefs travel to Kingsholm to face Gloucester on Sunday.