The Blues were downed on penalties after the game finished 2-2 in normal time, but Lampard was still happy with his team's performance.
"My overall feeling is one of pride. I'm a terrible loser, one of the worst in the world, but I'm happy with the team performance because we were very unfortunate," Lampard told BT Sport.
"After Sunday, tonight was another level, and we were unlucky not to win. We've got three games now till the international break and we'll try to win them all.
"Mason Mount and Tammy Abraham added an extra dimension when they came on, and were unlucky not to score."