Needing 17 off the final over, Nottinghamshire lost two wickets with Paul Franks and Gareth Clough both being caught in the deep by Darren Maddy and even though Will Smith hit the last ball for six off Jim Allenby, the home side finished on 173 for eight in reply to the Foxes' 177-2.
At one stage, Nottinghamshire were on course for victory with skipper Stephen Fleming (50 off 34 balls) and David Hussey (37 off 23) putting on 57 for the second wicket.
Both batsmen succumbed in consecutive overs as New Zealand skipper Fleming slapped a full toss from opposing skipper Jeremy Snape to fine leg and Hussey drilling Stuart Broad to short extra-cover.
Leicestershire's score was in excess of the previous best in a 20-over domestic final, surpassing the 169 for three they made to win two years ago at Edgbaston.
"It was amazing - not the conventional route - and we'd thought lost it at one stage but the guys were brilliant towards the end," Snape said.
"We've worked really hard this year and put in great performances throughout the group and knockout stages."
Fleming, whose team have endured a miserable county championship campaign, believes his side will emerge stronger.
"It's disappointing not to win but we were up against a champion side and we're just happy it was a good final," said the Kiwi.
Former England man Maddy became the first player to pass 1,000 runs in this competition during his unbeaten 86.