Riyad Mahrez's winner sealed a 1-0 victory over FC Copenhagen on Tuesday to maintain their 100 per cent record in the Champions League and keep them top of Group G.
They are five points clear and will reach the last 16 with victory in Copenhagen on November 2, having already beaten Club Brugge and Porto.
Leicester are the only side who have played three games so far to win them all but have more points in the Champions League, nine, than in the Premier League, eight, and Ranieri wants an improvement on Saturday.
"We are the record team. We have to stay calm now and change our mentality in the Premier League because Crystal Palace is another tough, tough, tough match," he said.
"When you come back a little more down, it's normal. But we want to change this mood now, because the Premier League is now important. The Premier League is our priority.
"But of course also Champions League because now, in one month, three matches, we're in or out. We are in a good position. Our destiny is in our hands. We want to continue this way.
"I'm very proud. For one side, I'm very proud. For the other side, when I think of the Premier League, I'm very, very angry. But it's OK, because also in my career this has happened.
"It's just psychological. Because when we play in the Champions League, all the specials are switched on. You're very, very smart, focused in every situation. You pay this, you spend a lot of energy, mental energy, in the Champions League."
Mahrez's winner justified Ranieri benching the Algeria international in Saturday's 3-0 defeat at Chelsea as he targets Europe.
He said: "For this reason I put him on the bench against Chelsea. Now it's right."
Ranieri also praised Kasper Schmeichel after the goalkeeper produced a wonderful one-handed stop in the 89th minute to deny Andreas Cornelius.
"Thank you to Kasper, thank you to all my players. Because in every high ball, Copenhagen are very, very strong. Now I'm already thinking about what happens when we go to Copenhagen," he added.
Defeat was Copenhagen's first since May but boss Stale Solbakken, who also saw Cornelius head wide in the first half, believes they can gain revenge in two weeks.
"I can live with that. Now we can start counting again," said the former Wolves manager. "That doesn't bother me. The only thing I'm disappointed with is the result."