Inter lost 1-0 to Fiorentina at the San Siro after Giacomo Bonaventura's second half strike condemned the Nerazzurri to their 10th defeat of the season.
Lukaku was guilty of missing some gilt edged chances in the game as he failed to transfer his impressive national team form to his club side.
The 29-year-old scored four times in two games for Belgium during the recent international break.
The former Manchester United and Everton forward, who is on loan at Inter from Chelsea, has only scored three goals in 16 Serie A games this season.
Speaking to DAZN, Inzaghi said: "If he had scored those chances, Lukaku's performance would be judged in a very different way.
"His role is to create the opportunities, make the movements that the team needs.
"He wasn't the only one who had chances today, so I wouldn't focus only on Romelu."
"There is great disappointment, we lost two consecutive home matches," he said. "We need to work more, starting with me.
"At the moment, we need to be more determined, because we had so many chances to score and we should have done.
"I cannot ask for more in terms of effort, as the players did everything I asked of them."
Inter are still third on the table but the likes of AC Milan, AS Roma and Atalanta are slowly closing in on them.
