The Red Devils took a 3-1 lead in the game early in the second half when Ander Herrera found the net, but a contentious penalty decision allowed the Foxes back into the game.
Rooney told Sky Sports News: "It's really disappointing. Going 3-1 up especially and then losing the game, it's hard to take.We should have done better as a team, seen the game out and won it from the position we were in.
"[There were] some mistakes and we didn't do well enough as a team to stop their goals. We have to do better; we know that - as a team we have to do better.
"It's not nice when you concede goals when you know we can prevent them. Everyone individually as a player knows that. They had the momentum with them in the last twenty minutes and we had to somehow try and find our composure and see the game out, but we failed to do that."
United have taken just five points from their opening five matches of the season.