Two goals in two minutes from Mark de Vries finished The Owls off and despite a decent second-half performance, the home side were better than Paul Sturrock's inexperienced team.
Bullen, who made his first appearance of the season, told Footymad: "It was a disappointing start and that's what killed us because we were 2-0 down after 10-15 minutes, we were always going to be chasing the game, Leicester are a very strong and physical side.
"But having said that, I thought in the second half we did do a lot better, we never got the breaks in front of goal. David Graham hits the post - that goes in and it's 2-1, our confidence goes up a little bit, same goes with Lee Peacock's header when Douglas made a good save but at the end of the day they were better than us and deserved the win."
Loan star Eagles agrees, although the winger believes that having more of a killer instinct in front of goal would do wonders for Wednesday.
He added: "It is disappointing, especially because in the last few games the team has played quite well and our attacking side of the game has been good but if you don't take your chances then you get punished, especially in this league because we are up against quality opposition.
"If you have been watching our games you know that we have been playing well - we are just not finishing the opportunities we are getting but hopefully we can do something about that soon and a few victories will see us climb the table."