The Blues had their chances, most notably Fernando Torres late on, but ultimately came up short as Paolo Guerrero scored the match winner for the South American champions on 69 minutes.
Chelsea's night ended on a further sour note as Gary Cahill saw red in injury time for an off-the-ball incident.
"It was always going to be a tough game. They are a very good team," Lampard told BBC2.
"It is tough to come away with a bad feeling. We had enough chance to at least draw the match."
Torres spurned the best of those late on when he shot straight at goalkeeper Cassio after the ball broke to him in space six yards out.
Chelsea had to work for their chances but when they did break through Cassio kept them out.
He somehow blocked Cahill's first-half effort on the line before making a fine fingertip save to deny Victor Moses' curling shot.
"They were very organised, I think Brazilian teams at club level can be like that," Lampard said.
"We knew what they were going to bring. It is disappointing to come all this way and not win it."
- Sports & Recreation
- Fernando Torres
- Gary Cahill
- Paolo Guerrero