The Blues drew 0-0 at Old Trafford last month, with neither side able to break the deadlock in an altogether uninspiring affair.
"The one against Manchester United recently for us, that goes against us, we've inquired about the reasons for that decision," said Lampard.
"We've been told that it was a penalty; VAR didn't take much time to look at it. And that goes against us and possibly, probably, lost us two points on the day."
Pundits and fans were left aghast at the decision not hand Chelsea the spot kick, with former star Jimmy Floyd Hasselbank insisting that the incident was "100 percent a penalty".
"If you see it from a different angle, he's just strangling Azpilicueta here and stops him from jumping," Hasselbank said. "He's putting his weight on his shoulders."