Riyad Mahrez's winner sealed a 1-0 victory over FC Copenhagen on Tuesday to maintain the Foxes' 100 per cent record in the Champions League and keep them top of Group G.
They are five points clear and will reach the last 16 with victory in Copenhagen on November 2, having already beaten Club Brugge and Porto.
Leicester are the only side who have played three games so far to win them all but have more points in the Champions League, nine, than in the Premier League, eight, and Ranieri wants an improvement on Saturday when they take on Crystal Palace.
"We have to stay calm now and change our mentality in the Premier League because Crystal Palace is another tough, tough, tough match," he said.
"When you come back a little more down, it's normal. But we want to change this mood now, because the Premier League is now important. The Premier League is our priority.
"But of course also Champions League because now, in one month, three matches, we're in or out. We are in a good position. Our destiny is in our hands. We want to continue this way."
He added: "I'm very proud. For one side, I'm very proud. For the other side, when I think of the Premier League, I'm very, very angry. But it's OK, because also in my career this has happened.
"It's just psychological. Because when we play in the Champions League, all the specials are switched on. You're very, very smart, focused in every situation. You pay this, you spend a lot of energy, mental energy, in the Champions League."