Ferdinand was injured in a collision with Emile Heskey in England's first training session in Rustenburg on Friday and is now facing a decision whether to return home or stay in South Africa with the squad.
Lampard feels "sick in the stomach" just at the thought of missing the World Cup so he can only imagine how Ferdinand feels.
"He's very down," Lampard said of the Manchester United defender at a press conference on Saturday.
"It's a huge competition, the biggest competition. It made me feel a bit sick in the stomach so I can't imagine how he feels."
"I was fearful for him because you could see the pain of the fall but also there was an element of fear.
"We all understand that. We've all had moments during our club careers as well where there's big games coming up and you feel you might have done something to put you out of that game.
"I understood straight away that it was potentially a bad one and then it was fingers crossed for the scan and obviously it turned out to be bad."
Injuries have blighted recent England campaigns - David Beckham's metatarsal in 2002, Wayne Rooney's metatarsal in 2004 and Michael Owen's knee injury in Germany four years ago.
And Lampard admits it is a problem which worries the rest of the squad.
He added: "We're very nervous of these things because we have had players injured before but I wouldn't say we're cursed. That's the wrong word.
"What we have to do now is rely on the strength of the group and our players."
Lampard admits the whole camp are disappointed to lose such an important player as Ferdinand but feels that Michael Dawson, who has now joined up with the England camp, is an able replacement.
Steven Gerrard has taken over as skipper and the Chelsea midfielder feels that is the right choice to help them push on.
He added: "We have to keep batting on, we have to be very focused. There's nothing wrong with being disappointed. That's normal. But when we trained today we trained at full pelt
"Dawson's turned up now and he's a lad who fully deserves to get that kind of call up for the player he is and the season he's had. So we have to just focus.
"Yes, we've lost a big player and big leader in our team but we've got to get together.
"I think he (Gerrard) will do the job he does at Liverpool. Which he has done fantastically for years. It'll mean everything to him the England captaincy.
"Steven's got that very quiet way about him off the pitch and everyone respects him for that. He's a player to look up to and that what's a captain's all about."
Meanwhile Lampard has expressed his hope that Ferdinand remains in South Africa with rest of the squad.
"I didn't really know what to say for him," he said. "We just spoke about the injury and how disappointed he was and I just said 'I'm here for you'.
"He's making the decision now whether to stay on or go home.
"I know he'll try and do what's best for him but also what's good for the lads.
"We'll miss him first and foremost on the pitch because of the quality he has as a centre-half. He's one of the best in the world without a shadow of a doubt but we have to keep going."