With Leicester trailing 3-2 at the King Power Stadium, Vardy had the opportunity to level the game, only for his effort down the middle to be saved by goalkeeper Simon Mignolet.
The East Midlands outfit would go on to lose the match, but Vardy has suggested that he will not think twice about putting himself in the same position later in the season.
"I'm not going to walk away from it, I'm not going to shy away from it. I will be straight there wanting to take the next one," the 30-year-old is quoted by PA Sport as saying.
"What made it worse was I was going to change my mind and go the other way, but I always tell myself never to change your mind, so more fool me.
"I was going to change my mind to go the opposite way. Unfortunately, I didn't, so it's cost us in the end and I will take that on my shoulders."
Despite the miss, Vardy has still netted five goals from six appearances in the Premier League this season.