The Blues led 2-0 and 3-2 at Stamford Bridge only to concede a stoppage-time equaliser as they missed out on the chance to move above Premier League champions Liverpool in the formative table.
Last season, Chelsea became the first team in the Premier League to concede 54 goals yet still finish in the top four. Lampard sought to address the issue by signing defenders Thiago Silva and Ben Chilwell during the summer.
Mendy made his debut in Chelsea's 4-0 win over Crystal Palace, which remains their only clean sheet in the league this season. However, Kepa faced Southampton, with Willy Caballero in goal, as the Blues scrapped to an error-strewn 3-3 draw at West Brom last month.
Chelsea have conceded 63 goals in Lampard's 43 league games in charge -- the worst record of any Blues boss at this stage. The 42-year-old sought to defend those numbers suggesting they were effective in restricting opponents to fewer chances, therefore shifting the scrutiny onto his goalkeepers.
"In terms of the goals conceded, yes I am aware of the stats and the other stat is that since I've been here we've conceded the second least shots in the Premier League, I think behind Manchester City," Lampard said.
"So it helps you to sometimes maybe narrow down some of the issues and the issues are that we don't concede many shots on our goal but when we do, we concede goals.
"I think it is something we were all aware of when you look at recruitment. And more importantly that you are aware of it when you work every day on the pitch with the players to make sure when we are set up well.
"We don't create many chances but the chances we do concede we let in too much.
"That is something we work on specifically. Of course, we want to concede less goals as all teams do at the moment. There are a lot of teams conceding a lot of goals in the Premier League at the moment and we are all in a similar position to a degree.
"It'll always be something we work on as much as our attacking play."
Mendy is struggling to be available for Tuesday night's Champions League group stage opener against Sevilla due to a thigh problem.
Kepa was at fault for Southampton's second goal but Lampard must choose whether to persevere with the Spaniard or opt for Caballero, who turned 39 last month.
Meanwhile, Billy Gilmour is expected to be available again in "three to four weeks" according to Lampard.
The 19-year-old has not featured since July 7 after undergoing a knee operation and is currently training alone outdoors with the club's physios in an attempt to rejoin sessions alongside the first team squad later this month.