Chelsea were beaten at home 2-0 by Brentford despite dominating possession for large parts of the game.
Lampard has lost all five games since taking charge of the Blues on a temporary basis while no wins have been recorded in eight games across all competitions.
Chelsea remain in 11th position in what has been a disappointing campaign collectively.
Lampard feels everything is going wrong for Chelsea at the moment and the players are low on confidence.
"It's a difficult one; I feel for the players a bit. They've lived it longer than me and there is low confidence," he told BT Sport.
"In terms of the game, we controlled possession. Brentford are good at what they do. They turn you round, they get throw-ins, they get corners, they scored from a deflected corner in a stalemate first half.
"We dominated the second half and they scored on a breakaway, so the details of the game are pretty clear. We're lacking the belief when we get to the top end of the pitch.
"In this moment, it's not a sob story, but everything is going against us. That game is a clear one. Even though we're not creating big chances, we had control of the first half.
"We have difficult games, a really difficult run-in. Some players came into the game and did okay, so maybe it is time to see those players a bit more.
"At the moment, everyone is 20 per cent down on confidence, so that moment to beat a player, to deliver on that half chance we get, we're not taking it, so that's the story for me."
