Ranieri's men stayed perfect in Group G of the Champions League after a 1-0 win over Copenhagen on Wednesday (AEDT).
But, domestically, the reigning league champion is battling in 13th with just two wins from its opening eight matches.
"It's just psychological because when we play in the Champions League, they're switched on, they're smart, focused in every situation," Ranieri said.
"You pay for this, you spend a lot of energy, mental energy in Champions League games then you come back a little more down, it's normal.
"But we want to change this mood because it's important for us now the Premier League.
"The Premier League is our priority but also of course the Champions League because now in one month, three matches and we're in or out.
"We are in a good position, our destiny is in our hands. We want to continue in this way."
Leicester tops its group on nine points, clear of Copenhagen (four points), Porto (four) and Club Brugge (0).
Ranieri has been satisfied with what his team have managed to produce in Europe.
"I'm very proud from one side, from another side when I think about the Premier League I'm very, very angry," he said.
"But it's OK, it's OK because also in my career this happened when for the first time you go and play in a big competition, you lose something when you go back in your league.
"That's normal but we want to change this way."
Leicester hosts Crystal Palace on Sunday and has a trip to Tottenham before its next Champions League outing – against Copenhagen in Denmark.