Although Honda's Dani Pedrosa topped the majority of the preceding tests at Sepang, Lorenzo was often close behind and appeared equally competitive on long runs.
But Honda dominated the private Austin test, with Marc Marquez quickest on both days before Yamaha packed up.
Lorenzo said his squad improved on Wednesday, but not by enough.
"We changed the set-up of the bike and we improved some tenths so we are closer to the fastest riders, but not as much as we would like," he said.
"We were too soft in the suspension to start with, we made it harder and on this track it works.
"We still don't have enough grip on the rear so we can't lean over with confidence which is why we are further behind than in Sepang."
Rossi added that Honda also has stronger acceleration.
"Our competitors are able to accelerate faster than us from the hairpin and they have a bit more grip on the edge compared to us, so these are the areas where we have to work," he said. "In the flowing parts we are not so bad."
Honda will continue testing on Thursday.