The Blues were expected to win after their majestic display against Tottenham Hotspur on Sunday, but goals from Michael Obafemi and Nathan Redmond secured the maximum points for the Saints.
Chelsea have been very impressive on the road, picking up convincing victories at the grounds of Wolves, Spurs, and Burnley among others.
A sharp contrast of their away form at Stamford Bridge have seen them lost to the likes of Bournemouth and Southampton.
Lampard believes the West Londoners must find a way to breakdown teams at home.
"Teams are making it difficult here. We are not making enough chances,” the 41-year-old said after his side’s defeat.
“We were at the beginning of the season. We are being asked a different question at home. At the moment we are not answering them. We do not manage to pick up that final pass.”
"Against Tottenham we had space to make runs and today we had none. It changes things.”
“We did not do it right today. I think if at the start of the season we would have been happy where we are. We are good away but we have to make it difficult to come here."
Chelsea wrap up the year with a visit to the Emirates Stadium to face Mikel Arteta’s Arsenal on Sunday.