Goals from Pablo Sarabia and Joaquin Correa had the LaLiga outfit in control before Jamie Vardy's late effort gave Leicester a crucial away goal in the first leg.
But Jovetic, who is on loan from Inter, believes Jorge Sampaoli's side could have taken complete control of the tie by taking their opportunities.
Leicester City goalkeeper Kasper Schmeichel starred, including saving a poor first-half penalty from Correa.
"It was a very delicate game," Jovetic told beIN Sports. "They are a good team and in the Champions League had played very well.
"Today, we played much better, we had may chances and we should have taken advantage of them."
Jovetic said Vardy's late goal would give Claudio Ranieri's men hope heading to the King Power Stadium for the second leg on March 14.
"For them, it is important," he said.
"We knew that even with 2-0 it's not over, so we have to prepare much better and win there."