Wanyama made his first start for Southampton in almost two months after serving a five match ban for his third red card of the season. Leicester City extended their lead at the top of the table with Wes Morgan's first half header enough to see off Saints on Sunday afternoon. Wanyama said that Saints were disappointed to lose the match.
He told Southampton's official YouTube channel: "I think it was a tight game. We are really disappointed that we couldn’t get anything from this game.
"They just got a goal at a bad time just before half time. That was the one that gave them the three points so we’re really disappointed.
"We have taken a hard defeat today and that’s how it is sometimes. Today, I don’t think we deserved to lose."
The Kenyan echoed his manager's thoughts regarding the penalty that Southampton were denied when Danny Simpson blocked Sadio Mane's shot with his arm, claiming that it could've been a different game had Michael Oliver awarded a spot kick.
"The guy [Danny Simpson] put his arm out so I think that was a handball and on any other day could’ve been a penalty.
"It’s disappointing not to get the decision. I think it could’ve been a different game from what we played. Now, you cannot do anything about it. We need to go back and work hard."
Wanyama, who made his return from suspension from the bench in the comeback win against Liverpool before the international break, said that Saints dug deep but couldn't break down a resilient Leicester defence.
"They defended from their six yard box and it was really difficult to get something from it. We dug deep to get the chances but it was really tough."
Wanyama believes that the results around them in the Premier League this weekend means that the Saints can still finish the season strongly, starting with a home game against relegation-threatened Newcastle United next weekend.
"It’s a good thing [results around Southampton in the table this weekend].
That's [the game against Newcastle next weekend] another tough match. We have to be in a good shape again and hopefully we can get back to winning ways.
"We have to focus on ourselves and give everything to finish the season strong."