Albion chairman Tony Bloom has told fans he did not want to let Leo Ulloa go.
But he has admitted the striker wanted to move to the Premier League and has thanked him for some memorable moments.
The Seagulls and Leicester City this morning reported Ulloa's move from the Amex to the King Power Stadium via their official websites.
Albion admitted they “reluctantly” sold Ulloa to the Premier League new boys, for whom he will wear the No,23 shirt.
Bloom said: "Initially we did not want Leo to go but, once he made it clear to us he wanted to join Leicester and play in the Premier League, it was then a case of ensuring we received our valuation.
"Leo has been tremendous for us, he has given us some truly memorable moments in the last season and a half - with his header against Nottingham Forest the pick of the bunch.
"I would like to thank him for his efforts and wish him well in the Premier League."
- O'Grady hints he wants to stay at Albion
- Stephens comes through Albion return
- Albion Analysis: Regrets for Albion over slow start
- Baldock: We should have been awarded a penalty against Gunners
- Hughton hoping O'Grady will stay with Albion