Lampard has admitted Derby tried to sign Pennington on loan on transfer Deadline Day.
The centre-back, currently at Ipswich on a season-long deal from Everton, has enjoyed good form at Portman Road despite the bottom club's struggles.
He's caught the eye of Derby boss Lampard who launched a last-minute move for the 24-year-old.
“He was one we looked at later on - but it was too late," he said.
“Matthew Pennington was an Ipswich player and they were well within their rights to keep him. Fair enough."