Tony Pulis will speak with Referee's boss Mike Riley after the Baggies were denied three penalties and on the wrong side of an offside call.
Albion were beaten 3-2 for the second consecutive season at home against the Foxes.
The Baggies took the lead when Salomon Rondon headed home a first half corner. Albion were then denied two penalty decions when Jonny Evans was first pulled back in the area before Gareth McAuley was wrestled to the ground in the area.
Leicester hit back after the break with two goals from Riyad Mahrez - the second of which was offside.
In form Jamie Vardy then scored a third before Rickie Lambert pulled a goal back with his first goal in Albion colours with a late spot kick.
"We are really disappointed with the two penalty decisions," he said.
"Jonny Evans' was one but Fletcher's looked absolutely stone wall. It think everyone would say that was a penalty.
"With the Evans one, the ref was only a few yards away. I don't know why it wasn't given. But I can't take anything away from Leicester, they played well.
"They say the second goal is offside as well - that was wrong, so decisions that could have helped us today didn't get with us."