Kai Havertz and Bukayo Saka put the hosts two goals up inside the first half-hour, before Martin Odegaard added a third early in the second half to settle the contest.
Lampard, speaking to Sky Sports afterwards, did not shy away from the scale of the challenge his side had faced.
"Clearly a big challenge. Fantastic team, a good lesson for our boys to see the levels," he said. "They played like champions. It was a difficult game for us, the experience of it is probably good for us in terms of the stadium, the atmosphere at the start of the game, the quality that they have. When you concede goals, not great from us and that's the reality."
Asked what he had taken from the defeat, the Coventry boss insisted his side would show more as the season progresses.
"You'll see more from us than that. Arsenal will beat a lot of teams here. There were some bits I didn't mind. The lads deserve better than that. Our support was amazing. They understand we lost the game and will learn a lesson."
Lampard pointed to Coventry City going more than an hour without a meaningful touch in Arsenal's box as a product of the occasion rather than a lasting concern.
"Every game won't look like that. This is an Arsenal team buoyed by where they are at," he said. He also drew a comparison with how other promoted sides have fared at the Emirates.
"It's hard. Leeds came here in the first game and lost and stayed in the Premier League. I'm not making any early judgements. We will have to acclimatise."
The manager was keen to stress the importance of the club's supporters as Coventry adjust to Premier League life, recalling how far the club has travelled in a short space of time.
"Important. A few years ago this club was in League Two, playing in a different stadium," he said. "When we came in we were 17th in the league. The boys have risen, the team have risen and the connection with the fans has been amazing. They have been a huge strength for us. They have to remain that way and the lads have to give everything."
Speaking separately to Match of the Day, Lampard framed the result as part of a learning process for a squad still adjusting to the step up.
"It's a good learning curve for our players. You come here and want to do something but it's very difficult," he said. "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."
He praised the quality of the opposition, which included seven or eight players making their Premier League debuts for Coventry over the course of the afternoon.
"It's a club that has worked in a certain direction with a very good manager. Every game is not going to look like that. We had seven or eight Premier League debuts," Lampard said. "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."
Lampard also addressed the importance of building momentum early in the campaign.
"With that start, we have to remain calm. We want to get rolling. 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."
On his own touchline demeanour compared with last season's promotion campaign, Lampard said:
"I have to be the first animated positive person this year. 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 captain Matt Grimes, who started in midfield, admitted the result was hard to take after a positive run of form.
"It's disappointing obviously, we've not been used to losing for the past year or so, we always knew tonight would be a tough ask," he told Sky Sports. "At half-time, we spoke about being braver; we wanted to come out in the second half and give a better account of ourselves. But the early second-half goal kind of killed the game. When you play such a high level of player and team, little mistakes become big mistakes."
Grimes said the gulf in quality between the Championship and the Premier League had been immediately obvious: "You can feel it, they're so well drilled and they have players everywhere, you've got Martin Odegaard, one of the best in the world, being in those tough spaces."
Reflecting on Lampard's message to the squad after the final whistle, Grimes added: "Our season won't be defined by coming to places like this and getting beaten, coming here against players like this is always going to be a tough ask."