Flynn acknowledged Leicester deserved to win but said if one of Walsall's chances had gone in things could have been different.
He said: "I know Leicester could have probably had a few more particularly later on and missed the penalty but I do feel if one of out chances had just gone in somehow it could have changed the outcome.
"But it was a great ocassion, for the fans who packed the place out, for the owners and the players who got the chance to play a Premier League team and acquitted themselves well.
"I thought Owen (Evans) was outstanding in goal, he was unlucky with the deflection for the goal but made some great saves. He could play at a higher level, along with a few of the squad and I think they proved that today.
"Brendan Rodgers was very complimentary about us and said we played some good stuff, that is great coming from someone I have a lot of respect for as a manager and a person."