The Millers eventually went down 4-1 after taking the lead and bowed out of the Carling Cup to their Championship opponents.
But the boss wasn't too downhearted, saying after the game: "I thought that for 45 minutes to an hour we did okay.
"We played well in the first half and created a lot of chances, obviously in certain areas they had some possession but I thought that we coped with it well. It was disappointing to concede the way that we did but I was pleased at half time.
"In the second half we let our heads drop a little after the goals we let in, but against a Leicester side who have got a lot of talent we showed our quality in the first half, and gave them a real wake-up call. I said to the lads in the dressing room that we can learn from the lessons of today, but our focus has now got to be on League Two and playing the way we did in the first 45 minutes."
Andy added: "We played a team with a different class of players tonight. They were bringing on the likes of Fernandes, Danns and Nugent, so it was a pretty strong bench."