Preston inflicted City's first league defeat at the Walkers Stadium in 25 outings since losing 1-0 to Millwall on September 13 last year.
The Foxes travel to Middlesbrough on Tuesday night and Gallagher said: "Everyone is gutted because we wanted to keep that record because it was a proud record to have. We are all disappointed but we won't be dwelling on it.
"It has happened so now we immediately have to focus on trying to make it another year without being beaten.
"We have another game now and we have to make sure we get our heads right and prepare well for the tough trip to Middlesbrough."