The home fans reacted similarly. Even the former Leicester and Chelsea midfielder, now City's half-time MC, did not sound as if he believed himself, so completely had Chelsea dominated the first period.
Yet, 45 minutes later, Leicester had hauled themselves back into the FA Cup. They will meet Chelsea again, at Stamford Bridge on Wednesday week, for the right to visit Portsmouth in the sixth round. If Leicester win it will be their first quarter-final appearance since 1982; Chelsea are hunting their third in four years.
They looked to have secured it after 35 minutes when Mark Hughes added to Roberto Di Matteo's 16th-minute goal to put Chelsea two ahead. But in the second half the indefatigable Steve Claridge twice won free-kicks, twice they were beautifully delivered into the area by Garry Parker, and twice the ball found its way past Kevin Hitchcock. On the first occasion, after 52 minutes, the ball was headed in by Steve Walsh. On the second, after 87, the unfortunate Eddie Newton got the vital touch.
The writing had appeared on the programme for Leicester even before the kick-off. When the team changes were announced a collection of teenagers, transfer-listed misfits and recuperating injury victims were scribbled over Leicester's quartet of suspended stalwarts. Chelsea were unchanged, midweek Azzurri and all.
Then Leicester's press officer announced the respective substitutes: "Stuart Wilson, a first year professional, Jamie Lawrence, he's played half a game this year, and Sam McMahon, he was recalled from a loan to Kettering this week. Chelsea - Ruud Gullit, Gianluca Vialli..." The point was made. Add the injury victims, and one player detained at Her Majesty's pleasure, and Leicester's already thin squad had nine out. Middlesbrough would have called the game off.
Leicester turned up and worked hard, but the gap in class looked too great. Nothing went right for them, on the pitch Chelsea scored with their first shot, off it there was crowd trouble, largely due to City supporters reacting to celebrating Chelsea fans in their midst. Even the tape machine went awry at half-time, leaving their teenage cheerleaders in as much confusion as the team.
However, deep in the bowels of the stadium a recovery was being plotted. Martin O'Neill reminded his team that the game could be won if they took it to Chelsea. In difficult, wet and windy conditions the London side's superior ball skills, and inferior heading ability, would be put to the test.
Leicester dispensed with the frills and hit it early to Claridge, that handful of a player. He held the ball up and won the free-kicks. Parker, moving out of his centre-circle berth especially for the job, did the rest.
In between the goals there were half-chances. Walsh hit a volley at Hitchcock, Wilson who looked very promising but very young ("he's six," said O'Neill, "but big for his age") set up Ian Marshall for a shot, and Simon Grayson almost headed in Scott Taylor's cross.
"They did not create anything," moaned Gullit, forgetting that his own team had offered little in the second period until roused by the equaliser. Then Hughes headed over with a minute left.
In the first period Leicester could not get the ball often and could not keep it when they did. The first goal came after they stood off Di Matteo and allowed him to shoot from 20 yards.
That provoked a series of skirmishes in the home Kop which briefly threatened to interrupt the game. Fighting spilled first into the disabled area and then on to the corner of the pitch. The referee briefly halted play, but the mood had calmed by the time Chelsea scored again. The second goal followed a poor cross from Grayson. Newton intercepted and the ball was moved slickly from Di Matteo to Dan Petrescu to Mark Hughes. He took aim, and drilled it past Kasey Keller.
Either side of that goal, Dennis Wise had gone close. Chelsea's control seemed complete: while Gullit stood calmly by the Chelsea bench, O'Neill was leaping about in anxiety. At this stage Di Matteo was running the game but, like Zola, he tired, drained by the week's exertions.
When it was later put, provocatively, to O'Neill that "Ruud Gullit said you were lucky" he bit. "We'll try and bring the first team down for the replay then." The four suspended players, Matt Elliott, Mustafa Izzet, Neil Lennon and, most crucially, Emile Heskey, will all be available. The tie is not over yet.
Goals: Di Matteo (16) 0-1; Hughes (31) 0-2; Walsh (52) 1-2; Newton (og) (87) 2-2.
Leicester City (3-5-2): Keller; Prior, Watts, Walsh; Campbell (Lawrence, 80), Taylor, Parker, Grayson, Robins (Wilson, 65); Claridge, Marshall. Substitute not used: McMahon.
Chelsea (3-5-2): Hitchcock; Sinclair, Lebouef, Clarke; Petrescu, Wise, Newton, Di Matteo (Gullit, 86), Minto; Zola (Vialli, 67), Hughes. Substitute not used: Grodas (gk).
Referee: M Reed (Birmingham).
Bookings: Chelsea: Minto, Clarke, Petrescu, Lebouef.
Man of the match: Parker.