The Blues succumbed to a 1-0 defeat at Newcastle United on Saturday thanks to Isaac Hayden's winner deep into stoppage time.
Questions were once again asked of Kepa, as Hayden got a slight touch on Allan Saint-Maximin's delivery and, although it still appeared to be in the goalkeeper's path, he failed to react quickly enough to keep it out.
Lampard is keen not to pile the pressure on the 25-year-old, however.
"I'll always defend the players and I think if there are individual errors, then players are the ones who stand and hold their hands up," Lampard told reporters on Monday ahead of Tuesday's Premier League clash with Arsenal.
"I think goalkeepers should be as well, it's quite an isolated, difficult job and the spotlight is really on individually. He's made good saves for us this season and at times he'll have wanted to do better, because he's still relatively young as a goalkeeper and wants to improve, as he should do. He can improve just like all the team can improve.
"I didn't have a direct conversation with him. I'm sensitive to the fact that goalkeepers are under the microscope and that can be tough, but if it's not going for you, like a striker, you have to just work hard and keep your head down and be humble about how you work.
"That's how I push everyone to work. He's a good goalkeeper, we know that. He's saved us points and then there's times when we look and go, 'is it an individual error or a team error?'
"And sometimes the goalkeeper takes the brunt if we haven't defended right as a team. I don't want to dwell on it. If it's not right, we need to make it better."
Lampard also jumped to the defence of his Manchester United counterpart Ole Gunnar Solskjaer after it emerged Marcus Rashford is set to miss at least six weeks after aggravating a back problem.
The England international came on as a substitute against Wolves and was then forced off again as his injury developed into a double stress fracture, leading to criticism of Solskjaer for bringing him on even though he was involved in Juan Mata's winning goal.
"You can't criticise a manager for making a decision like that," Lampard said. "Rashford has been in incredible form, scored 19 goals and he's a huge factor in their team.
"Hindsight is a beautiful thing, but if you have a player who wants to play even with issues, then you have to make a decision.
"I've heard managers get slated when they turn away from the FA Cup and play a second-string team and now I hear him getting slated for bringing on one of their best players to try and win a game in the cup, so you can't have it both ways."