The FA Cup winners missed out on a top-four finish in the Premier League after losing 4-2 at home to Tottenham on the last day of the campaign.
The Foxes were on course to add a top-four finish in the Premier League to their historic FA Cup success as they led Tottenham 2-1 with 14 minutes to go on the last day, with Vardy scoring two penalties.
But a Kasper Schmeichel own goal and two Gareth Bale goals off the bench saw Spurs run out 4-2 winners and condemn Leicester to a second successive fifth-placed finish.
It undoubtedly took some of the shine off Leicester’s season, but Vardy says they can still be proud.
“We’re disappointed,” he wrote on Twitter. “It’s hard to take but we can be proud of what we’ve achieved this season.
“It’s now time to take a break and re-focus.
“Thanks for your support throughout this season…it was great having some of you back in the King Power, see you soon.”
Foxes full-back Luke Thomas agreed with his team-mate’s assessment and says once the disappointment from Sunday dies down, they can look back with fondness.
“We’re really proud of ourselves, it’s been such an emotional season in a way,” the 19-year-old told the club’s official website. “We came away with the FA Cup, and you can’t really complain, can you? It’s been a very good season, personally, for myself and for the team.
“I feel it’s obviously going to be more disappointing because Aston Villa have obviously beat Chelsea, so it’s hard to take, but we’ll bounce back and we’ll come back stronger next season.
“Everyone’s going to be disappointed today, but when we look back at it in a couple of days, a couple of weeks, we’ll realise what we have actually done this season. We’ve made history for the club, winning the FA Cup.
“So, it’s been a very positive season in a way for us. Yes, we’re in the Europa League, but it’s still a great competition to go into. We’ll come back stronger next year in that than we did this year, so it’s been positive.”