The newly promoted club were beaten 1-0 by the Cottagers in a game that could prove decisive in the relegation battle.
Lockyer felt that Luton gave a great account of themselves for most of the game, even if they earned no reward.
Post-game, the club's captain told reporters: “A tough place to come, they were top 10 last year, tough team, we had a gameplan that we worked on over the international break and I think you can see we put into effect.
“A sloppy, sloppy goal which was incredibly frustrating, as we had some big chances at the other end which we didn't put away.
“It's frustrating that we couldn't see out their opportunity for their goal as I didn't really feel threatened."