Trailing 1-0 from the first leg of this Champions League quarter- final, Leicester were left with it all to do as Saul headed home for Atletico after 26 minutes.
It meant Leicester had to score three times to reach the semis and Jamie Vardy equalised in the 61st minute to spark a series of chances but they just could not find more goals.
But Vardy insisted Leicester should be “proud” of their Champions League run.
“We absolutely gave it our all and they had to make a lot of blocks on the line. On another day some of those could have gone in. But we can be proud,” said Vardy.
Jamie Vardy insists Leicester should be proud of their Champions League run
Vardy scored midway through the second half to give his side a glimmer of hope
“We knew it was going to be hard but it was a fantastic effort. We gave it our all and left it all out there on the pitch.”
Leicester manager Craig Shakespeare, who switched to a back three at half time with his side trailing and threw on Ulloa as an aerial target up front, believed his side’s second-half display had Atletico Madrid “rattled”.
And he insisted it was no disgrace to go out to a quality outfit.
“I am disappointed to go out but I am immensely proud of the performance. From the first leg we knew we were in the tie but we had a right go at them and have just failed at the last hurdle,” said Shakespeare.
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Craig Shakespeare believes Leicester "rattled" Atletico Madrid
“We had them rattled with the effort and commitment we showed and it was no discredit to us to lose to a team of that calibre.
“I hope the benefit of this run is that they want some more of this. I said to the players that they should want more of this and they have agreed that that is what they want.
“They should want to play at this level but to do that we have to get back to winning ways in the Premier League.” Atletico manager Diego Simeone was delighted with his side’s progression to their third semi-final in four years but said they had been stretched to the limit by a superb Leicester performance.
“I feel full of emotion and full of pride at the performance of my team and full of hope and excitement as we progress but what a great performance from Leicester tonight,” said Simeone.
“It was a pleasure to play against them and we were living in fear all night and pushed all the way by them.”