The Millers more than held their own against their Premier League opposition but were undone by two Leo Ulloa goals in nine first-half minutes.
First the £7million man slotted home from close range after 29 minutes and then he headed in soon after to give Foxes fans hope of a productive season following his move from Brighton.
The Millers, who made all of their substitutions at the break, got back into it through Kieran Agard’s sixth pre-season strike, a low finish from 12 yards, but Danny Drinkwater’s 64th-minute effort won it for the Foxes.
Both sides had further chances to add to their tally but keepers Adam Collin and Kasper Schmeichel were in fine form.
Millers fans will be hoping that is not the last they see of Agard in a red and white shirt, with the prolific striker, scorer of 26 goals in last season’s promotion campaign, thought to be on Bristol City’s radar.
Leicester continue their pre-season preparations against Werder Bremen on Saturday, when the Millers open their Championship campaign at Derby.