The newly promoted side were handed a real baptism of fire as they faced reigning champions Arsenal in their first Premier League game since earning promotion.
Coventry have been away from the English top flight since the 2000–01 season and were comfortably beaten by Mikel Arteta’s side.
Kai Havertz opened the scoring after just 16 minutes with Bukayo Saka doubling their lead shortly after.
Arsenal captain Martin Odegaard wrapped up the three points just four minutes after the break, but Lampard chose to look on the bright side.
Speaking to Sky Sports after the game, Lampard said: "Clearly a big challenge. Fantastic team, a good lesson for our boys to see the levels. They played like champions.
“It was a difficult game for us, the experience of it is probably good for us in terms of the stadium, the atmosphere at the start of the game, the quality that they have.
“When you concede goals, not great from us and that's the reality."
On what he learned: "You'll see more from us than that. Arsenal will beat a lot of teams here. There were some bits I didn't mind.
“The lads deserve better than that. Our support was amazing. They understand we lost the game and will learn a lesson."