Lampard has a good record from the spot but his miss in the FA Cup final was followed by another in the friendly win over Japan on Sunday.
Former England midfielder Le Tissier was one of the best from 12 yards, converting 48 of the 49 penalties he took during his career.
He told the Daily Mail of Lampard: "If he backs himself then you've got to take that on board. Half the battle is if the player wants to be there.
"Obviously if he misses five in a row then you might have to take the decision out of his hands but if he's still confident then let him have them."
And Le Tissier's advice to his countrymen is simply to be positive.
"For me it was a case of getting every negative thought out of my mind," he said.
"Coming in visualising the crowd erupting when the ball hit the back of the net was the thing for me and I always looked forward to taking penalties because it was the best chance I was going to get to score a goal in a game."