Leicester, who had previously rattled off three wins in this their debut season after their unlikely Premier League title success, could only secure a goalless draw at Copenhagen.
That points left the Foxes' three points clear of Group G rivals Porto who saw off Club Brugge 1-0 in Portugal with a Tomas Silva goal.
In Group F, Real Madrid were held 3-3 by Legia Warsaw despite a goal in the opening minute from Gareth Bale.
Dortmund, champions in 1997, thanked a first half goal from Adrian Ramos for a 1-0 home win over Sporting Lisbon which guaranteed their passage from Real's group as they moved onto ten points -- two clear of the Spaniards.
Sevilla, Europa League winners in the past three seasons, are as good as through but technically can still be caught by Lyon.
The Spaniards yesterday thanked goals from Luciano Vietto, Sergio Escudero, Steven N'Zonzi and Wissam Ben Yedder for a 4-0 thrashing of Group H tailenders Dinamo Zagreb in Spain to move on to ten points.
The draw keeps Lyon technically in the hunt on four points.
Elsewhere, Tottenham Hotspur saw their Wembley jinx strike again as they went down 1-0 to Bayer Leverkusen while their White Hart Lane venue undergoes a revamp.
The new Wembley has not proven a lucky venue for Spurs, who have lost four domestic cup encounters and also their opener this season against Monaco at English football's mecca.
The principality side, already buoyed by their earlier Wembley win, hammered CSKA Moscow with Colombian Radamel Falcao, coming off two flop spells in England with Manchester United and Chelsea, bagging a brace.
Dortmund join Arsenal, Paris Saint Germain, last season's finalists Atletico Madrid and Bayern Munich in the round of 16.
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