"Walcott... was unable to train fully so has returned to his club as a precaution," the Football Association said on its website on Tuesday.
England coach Roy Hodgson confirmed the injury was not serious.
"He had the same as Alex. Unfortunately Alex turned his ankle and Theo took a kick on his thigh, and we were hoping a couple of days would see him right, but unfortunately he couldn't."
"We missed him during the Euros," Hodgson said. "If you have players of Frank Lampard's quality, it is a great pity if they are injured."
"It's a very exciting squad," Lampard told reporters. "The manager's picked a very intelligent squad, brought in some young players to give them some experience.
"The manager only had two months to work with the players [before the European Championship], so this is a great get-together for us, a chance to look to build. The last thing we want to do is lose ground early on in the [World Cup] qualifying campaign."
Asked about reaching a landmark 100 appearances with the national team, Lampard said: "To be honest it's not something that's completely on my agenda. I'm sure I won't get any favours from the manager, and rightly so.
"It's an ambition to stay in the squad; if I can continue to help them all the way to Brazil, I'll be very happy to do so."
