The Blues passed up the chance to usurp Leicester City on the Premier League table following the Foxes' defeat at Everton.
The visitors took the lead from the penalty spot through Willian three minutes before the break but Tomas Soucek pulled parity for David Moyes’ men before Michail Antonio scored the Hammers’ second right after the break.
However, a sumptuous free-kick from Willian looked to have shared the points until substitute Andriy Yarmolenko cut past Antonio Rudiger to fire home during the dying embers of the game.
In an interview with Sky Sports after the game, Lampard admitted that his side lack the mentality to win such games, citing an example with similar defeats in the Premier League this season.
“It's the story of our season. It's been a good season but there have been so many of these moments,” the Englishman said.
“We had an opportunity today to go through but you have to do every part of the game to get results.”
“If you switch off or make one or two errors then you will encourage teams. Players have to show an extra mentallity to get through these games.”
"I get to see this group closely and I've seen us play great games then have moments where there's the opportunity to capitalise and that's the difference at the moment. We have work to do.”
"There's without a doubt a good group of players in there but then when you analyse the consistency, you feel a game like this is coming. Again, that shows there's work to do.
"If we are opening up to try and score that winning goal then we have to be prepared to run back the other way and defend. And defend better.”
"We are two points ahead of Manchester United, who have been playing fantastic and are on a great run, Wolves are having a great season and they're behind us, Leicester have had a great season and we're just behind them.”
"It's about perspective. We are upset because we wanted to win the game, we're footballers and we're in a good position.”
“So there's no point in being down but I can't help but say the truth today which is that it's a game we should have won."
