The England international had the perfect chance to draw his side level after being upended by Liverpool goalkeeper Simon Mignolet in the 73rd minute of Saturday's clash with Liverpool leading 3-2.
Unfortunately for Vardy, the Belgian guessed correctly and reedemed himself, leaving Vardy wondering what might have been.
Liverpool held on to claim a precious three points, thanks to goals from Mohamed Salah, Jordan Henderson and Coutinho.
Speaking after the game though, the 30-year-old was in no doubt that he would step up again if the situation arose.
"I'm not going to walk away from it, I'm not going to shy away from it. I will be straight there wanting to take the next one," he explained.
"What made it worse was I was going to change my mind and go the other way, but I always tell myself never to change your mind, so more fool me.
"I was going to change my mind to go the opposite way. Unfortunately, I didn't, so it's cost us in the end and I will take that on my shoulders.
"I was the one who stepped up, I was the one who missed, so I'll take that. It is something I will have to learn from and look to improve on."