Boro picked up a point with a 2-2 draw at the King Power Stadium and nearly claimed all three but were denied by a stoppage-time penalty for the hosts.
Clayton admits he is frustrated Boro failed to claim the win but believes they can draw confidence from their performance going forward.
"I think it was our most confident performance so far," he told the club's official website.
"We’d played well in patches in other games, but after Arsenal and Manchester City we have a lot of confidence, and that showed.
"Every player was confident on the ball, the movement was good and we really took the game to Leicester.
"We would probably have taken a point before the game, coming to the home of the champions. But we’re leaving frustrated because we played well and deserved to win."
He added: "Recently we've played against some of the league’s top teams and given a good account of ourselves. We can be proud of what we've done.
"If we keep performing the way we're performing, we'll be ok. If we keep believing, we can turn these draws into wins."