The Foxes were leading 3-2 at the Emirates Stadium in the 2017-18 season opener, but two late goals from the Gunners condemned the visitors to a 4-3 loss.
Vardy acknowledged that Leicester have now lost away at Arsenal over the last three seasons due to the hosts striking late on in the game, but insists that his side will work on their issues on the training ground.
The England international told Sky Sports News after the game: "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.
"We had quite a few chances. Unfortunately they didn't go in but we can take a lot of positives. Scoring three goals away from home is a positive and we'll get back on the training field to make sure we sort the problems out."
Leicester have lost on their last seven trips to Arsenal in all competitions.