Villa took an early lead through Ollie Watkins but gifted James Maddison an equaliser within three minutes after Boubacar Kamara lost possession in his own box.
A Harry Souttar own goal put Villa back ahead but further defensive lapses allowed Kelechi Iheanacho and Tete to put the Foxes ahead at the break, with substitute Dennis Praet pouncing on another blunder to seal the visitors’ win late on.
Emery admitted frustration at his team’s mistakes but said he wanted his players to continue taking risks.
He said: “We have to learn trying to play with the pressing. Opposition teams will come to press us high. We can play long ball, long ball, long ball but I don’t (always) want to do that.
“I want to do it sometimes but not when we can control it better. I want to continue building up, playing with our goalkeeper as well. But we have to mix it sometimes and create our style.
“I want players with good personality to try and play and improve to stay one step ahead.
“We have to keep improving and trying to avoid the kind of mistakes we made today.”
The defeat was just Villa’s second in the Premier League since Emery took charge at the start of November.
Emery continued: “I’m very frustrated and disappointed. We thought before the game this was an important day. If we got three points from this match we would have been in the top-10.
“But I have to stay balanced with myself and the players. We came in at the beginning trying to recover our position in the table and we have done that.
“We are improving but the next step is to play better at home and control the game better. We didn’t do that today. We created chances but conceded more than we wanted. In some moments we played well but the big mistakes we made, which allowed them to score, saw us lose confidence.”