Azpilicueta says Lampard's side cannot afford to dwell on their 4-0 opening day defeat at United.
“We're obviously very disappointed with the result because we controlled the game, especially in the first-half, and created a lot of chances but we couldn't score," said Azpilicueta.
“It's a tough scoreline to take but we weren't clinical in the boxes and after we conceded two goals in two minutes, things were more difficult for us.
“From that point, we were more open and gave them more spaces, they got more confidence and at the end we got a tough result.
“We deserved more but it is what it is and we have to move on."