'I used to do it all the time, it's just frustration', the England centre-forward told the Daily Mail.
The last time he was seen lashing out at himself was late in the second leg against Sevilla, when his nine-punch combination raised more than one eyebrow.
'It is better to punch myself than somebody else isn't it!', he expained.
Jamie Vardy recognised it is a strange thing to do, but he cannot help it when he misses clear chances.
Just another one of Vardy's idiosyncrasies, but it seems sometimes things might get out of hand: 'I've cut my lip quite a few times!'.