Son of the great Peter, the Foxes number one made a breathtaking save from a volley by Morten Gamst Pedersen which left the Rovers boss wondering what might have been the turn out of the game had that effort had gone in.
But in the end Rovers ended up going down 3-0 to goals from the very talented Chris Wood, Harry Kane and Andy King.
The defeat puts a dent in Blackburn's hopes of reaching the play-offs, but in all honesty, that did look to be an outside chance at best.
Appleton was left to tell Sky Sports after the game "We were beaten by the better side, but who knows what might have happened had we not witnessed a world-class save.
"If you get the first goal things can turn in your favour, but they got the first goal and went from strength to strength.
"The goals we conceded were a big disappointment for me, it was unlike our players. But it is hard for me to be too critical of the back four because they have been magnificent while I have been at the club.
"We move on now and I will be looking for a reaction on Saturday."