Wednesday were booed off after goals from Danny Drinkwater and Ben Marshall gave the high flying visitors the three points and defeat meant the Owls slipped into the drop zone.
They have now lost four matches in a row but Jones said: "That is the first time we've been outplayed and outfought. When things aren't going so well you have to stick together and dig in but we didn't do that.
"We made so many basic errors. For the first goal they were saying it should have been a foul (on Jay Bothroyd) but it doesn't matter if it's a foul or not, we went chasing the ball and they played a simple one-two and scored.
"We are a little bit naive in some of the things that we do and we haven't got many talkers. But it's no good getting too downhearted, last week (at Nottingham Forest) it was completely different.
"Leicester are an established side, their passing and movement was good, and we didn't get going but, when that happens, you have to dig in. Too many players weren't on their game.
"We've got to stick together, we always knew it was going to be difficult at this level. But I thought the fans stuck with the team and they've got to do that."