Shinji Okazaki netted after just 52 seconds, while Harry Maguire headed home the second nine minutes into the second half.
Albion rarely troubled Leicester keeper Kasper Schmeichel and the Seagulls have now lost both of their opening Premier League fixtures 2-0, after Manchester City won at the Amex last weekend.
Stephens said: "We knew it was going to be tough before giving them a leg up. A team of that quality doesn't need it and we made it very difficult for ourselves from minute one.
"We have to improve. We've had two tough games but we've got to work on a lot and we go into next week, will do our work and go again.
"We need to be better with the ball and have more of a threat. I think we've done well to contain both teams over the two games but without having a real threat of our own. It's something we need to improve on.
"We had spells in the game where we were comfortable but didn't really look like we were going to score. We've got to go back and work on what we've got to do better next week."