Lampard said he went to see Ferdinand, a colleague from their days in the same youth team at West Ham United but found it difficult to ease his long-standing friend's pain and despair.
"I didn't really know what to say," he told reporters around 24 hours later on Saturday.
"He's coping but he is very disappointed to say the least," said Lampard. "And we all feel for him, all of us as a group as well. That's natural.
"I went to his room and spoke to him last night - and he was laid up but he was very down.
"This is a huge competition, the biggest of all, and when I think of all the players I have played with in my career and I think of him, as a friend of mine, and as a professional and as the England captain, it made me feel sick in my stomach for him to get this close.
"I can't really imagine how he feels."
BOUNCE BACK
Ferdinand, 31, a veteran of 78 England appearances, was ruled out of the tournament on Friday evening after injuring his left knee ligaments following a tackle on striker Emile Heskey in the final minutes of the squad's first training session in South Africa.
They only landed in Johannesburg on Thursday morning.
Lampard, also 31, said the players had been affected as a squad but would bounce back.
"We have to keep battling on and be very focused. There is nothing wrong to feel disappointed now, or yesterday. It is the same for us all in the camp as individuals.
"But we trained full pelt this morning and we are looking ahead. (Michael) Dawson has turned up now and he deserves his call-up for the season he has had and the lad that he is.
"For me, he is an understandable replacement. He was unlucky not to get the call in the first place and he is a good lad to have around the camp. We know that from before."
Lampard added that he barely knew what to say when he saw Ferdinand.
"We spoke of the injury and I told him 'I'm here for you' and he is now making a decision about what to do - whether to stay or go - and he will try to do the best for him and what's best for the lads.
"He will be a big loss as a personality around the place if he goes. I have been around him since we were in the youth team at West Ham and he has always been a bubbly character.
"He is important around the place but what we will miss first and foremost is his quality on the pitch. He is an outstanding centre-half, one of the best in the world without a doubt."
Lampard said also that Capello had concentrated on Saturday in moving on and "getting things right" in training, but added that "the manager has his own way - we could see his own disappointment went Rio went down and it looked bad. He understood the importance of Rio for us."
He dismissed the idea that there was a curse on England and their captains -- or that the English Premier League was so demanding it left many players over-fatigued ahead of major tournaments.
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