The experienced goalkeeper is currently on loan at Colchester from West Ham United, but his deal expires over the weekend.
Colchester boss Lambert has made an attempt to extend Walker's stay, but is awaiting a response from the Football League.
The paperwork has been sent in and Lambert is unhappy that the League One club have yet to receive a decision on whether Walker can stay.
Priority"Signing Jimmy Walker is now my priority, and I'll be an angry man if we lose him," Lambert told a press conference.
"I've lost count of the number of points that he has saved us since he's been at the club.
"It's no secret that I want him permanently. The club knew a few weeks ago that I wanted Jimmy to stay longer, but we are still waiting for a response from the Football League.
"There doesn't seem to be any consistency. There seems to be one rule for some and one rule for others, whether you are a big club or not.
"It's all very confusing, with some players signing before and others after the deadline has passed. People don't know where they stand.
"We sent our stuff through on time, but we've had two days without a response. Every club should be treated the same."