Adrian stopped Leicester going 2-0 up against his side earlier on, when he stopped Dave Nugent's spot-kick, and the Spaniard believes it was an important moment in the match.
He says that the momentum changed after his stop, but it wasn't enough to secure West Ham the three points, with Leicester sealing a dramatic 2-1 victory late-on.
“I thought the penalty save changed the mentality of the game,” Adrian said.
“We got control and made some chances, but football is about goals and if you can’t score and the other team can, then you have lost.”
West Ham's defeat at the King Power Stadium makes the frustration levels around the club rise even further, after what has been a disappointing 2015 so far.
The Hammers had appeared in with a chance of claiming a European spot, but they are now fighting just to stay in the top half of the Premier League table after a series of poor results.
Sam Allardyce's side have not shown their attacking quality recently, and their football has fallen short of the standards they set over the early part of the campaign.
It means that discontent amongst the fans is growing and unless they are able to start picking up some victories over their remaining few fixtures, then Allardyce's future at the Boleyn Ground appears to be in doubt.