Coventry were handed one of the toughest possible starts to life back in the top flight, facing the reigning champions in their first Premier League match for 25 years.
Kai Havertz opened the scoring after 16 minutes with a composed finish from the edge of the box before Bukayo Saka doubled Arsenal's advantage. Martin Odegaard added a third shortly after half-time to complete a comfortable victory for Mikel Arteta's side.
Lampard was disappointed by the result but insisted his players should not be discouraged by the defeat, particularly after facing one of the strongest teams in the division.
"It's a good learning curve for our players," Lampard said. "You come here and want to do something but it's very difficult. It's a good experience to live.
"We hate defeats, but you can lose here and there is a lot to be done to do what we want to do this season, so we will take the learnings."
Coventry dominated the Championship last season, collecting 95 points and finishing 11 points clear of second-placed Ipswich to secure promotion.
Lampard knows the Premier League will present a very different challenge.
"It's a club that has worked in a certain direction with a very good manager," he said of Arsenal. "Every game is not going to look like that. We had seven or eight Premier League debuts.
"When it's 2-0, you still feel you are in the game, when it's 3-0, it's hard. The boys kept going. They showed good courage as the game went on.
"They shouldn't be too down after this because these are the best in the league."
The Coventry boss also stressed the importance of avoiding a slow start to the campaign. After enjoying regular victories last season, his side will now have to adjust to a much more competitive environment.
"With that start, we have to remain calm. We want to get rolling," Lampard said. "We had a good feeling last year of winning games and it makes everything pretty easy.
"It won't be so easy this year, but we want to get those points for sure."
Lampard was also animated throughout the match as he tried to keep his players focused during a difficult evening.
"I have to be the first animated positive person this year," he said. "Last year was easy to be animated and happy and smiley all the time.
"I want to help the players. When they have a tough night, be there for them. I will be there for them in the game and after the game."
Coventry will have an opportunity to respond when they travel to Plymouth Argyle in the second round of the EFL Cup on Tuesday, 25 August.
Their next Premier League match will come at home against Hull City on Saturday, 29 August, when Lampard's side will look to begin their battle for survival with their first points of the season.