Add that to Spurs striker Jermain Defoe's last-gasp spot-kick woe at Everton yesterday and it is bad news for England fans and Three Lions boss Fabio Capello.
The Italian no doubt knows that penalties have so often been our undoing at recent major tournaments. Five times in the last 20 years, the Three Lions' hopes of glory have vanished in the nightmare of penalty kicks. And the fact that usually-reliable Lamps may be getting the jitters will cause dread among England fans everywhere.
Lampard blew his chance to snatch a draw for Chelsea at Eastlands in the 83rd minute. His kick lacked power and City keeper Shay Given blocked it comfortably.
Hughes said: "Frank obviously was aware of the significance of that moment in the game and that, if he converted the penalty, it would be a key moment. "Maybe that contributed to him being a bit over-cautious with his strike."
Even Chelsea boss Carlo Ancelotti admitted it was a feeble spot-kick. Ancelotti said: "It was not a good penalty. Frank should have scored, no? We had maximum opportunity to score but did not."
Given England's record with penalties in major tournaments, this is hardly good news. Lampard was one of three players - along with Steven Gerrard and Jamie Carragher - who missed in the shootout with Portugal at the last World Cup, as England bowed out in the quarter-finals.
But he got some words of support from Blues team-mate Michael Ballack, who missed against Blackburn in midweek as Chelsea went out of the Carling Cup on penalties.
Ballack said: "I missed a penalty this week, Frank missed one today and I hear another big player missed one today. "It can happen. It is football. Even Germans can miss penalties, so it can happen!"
Given saved after doing his homework on Lampard's technique with goalkeeping coach Kevin Hitchcock.
Hughes said: "We are not alone in doing this. "At the level we are competing in, you have to take any opportunity you can get. The small percentages can make the difference between winning and losing."
Given added: "Kevin Hitchcock has to take a lot of credit for me saving the penalty. He did his homework on Lampard, so I think he deserves the credit."
There was more penalty woe for Capello when Defoe, the England striker in the hottest form, fluffed his chance to win the match for Spurs at Everton.
Defoe, who took on the spot-kick duties with Robbie Keane on the bench, smacked his kick straight down the middle but Yank keeper Tim Howard saved with his legs.
Incredibly, it was the fourth penalty kick missed in the Premier League over the weekend. Thankfully, besides Lampard and Defoe, the other culprits were not English.
Ivory Coast striker Aruna Dindane missed for Portsmouth in their 2-0 home win over Burnley and Spain's Cesc Fabregas failed for Arsenal, who went on to beat Stoke 2-0 at the Emirates.