A win for the Hatters would have seen them climb up to fourth in the Championship table, and it looked very much on the cards when Cameron Jerome gave them a 1-0 half time lead against a visiting side who offered little.
But Town then conceded two goals in the second period as Mark Warburton's side took the points once more, the first time Luton have been beaten at home under Jones when scoring first since a League Two meeting with Portsmouth back in November 2016.
It meant that Rangers went fourth instead, with Luton now down to seventh, goal difference keeping them out of the top six, as Lockyer said: “It’s so tight now, that’s why we feel like it’s a bit of a missed opportunity, but it’s one of them, what can you do now?
“We’re looking up the table, we’re not looking behind us, so for us to stumble today is really frustrating.
“When all the supporters go home and reflect on the game, they’ll be disappointed as well, it hurts.
“We started well, we like to start our games fast, especially at home, and that’s exactly what we did.
"When we go ahead we’ve got a good record, so a bit frustrating in the end as I can’t remember them having too many shots.
"I can’t actually remember a shot they had apart from the two goals, which is really frustrating from a defender’s point of view as well.”
Lockyer was doubly frustrated that the defeat came when Town had put in one of their better performances in recent weeks, having in his eyes, not been at their best when beating Derby and Coventry, plus losing at Middlesbrough the previous weekend.
He continued: “It’s a strange one really as that’s probably the best we’ve played in a while and we end up losing the game.
“Recently we haven’t been playing too well and been getting the results.
"For the first time today it was the best we played and we haven’t come away with anything, so really frustrated.
"All the lads are a bit down in there, but the good thing about this hectic schedule is we can go again Wednesday.
"We’re not used to losing and when we have lost this season our performances have been justified to lose the game.
"That wasn’t the case today so it hurts that little bit more.
"We’ll have to go back watch the game, do our homework on Preston and then look forward.”
The Welsh international was even more annoyed with the way in which Luton were breached twice in the second half, conceding poor goals by their recent standards, after only being letting in one in their past four league contests at home.
The first came when Kal Naismith slid in needlessly on Andre Gray for a penalty that the ex-Hatter converted, before a late corner was flicked home by Rob Dickie from close range.
Lockyer added: “It’s annoying as they’re two preventable goals.
"If they work the ball really well and someone’s hit a worldie from 30 yards you say 'all right fair enough,' but it wasn’t the case.
"It was too soft goals, real soft goals, so really annoying, we’d love another clean sheet to the tally, it wasn’t to be.
“Kal will be disappointed he’s given the penalty away and then they get their tails up then, but defending the attacking set-pieces has been a real positive for us this season.
"We were done at the front post when it just needed someone to take control of the situation and just head it away.
"It just looked like it needed someone to say 'no, not today,' but it wasn't the case.
"Apart from those two I can’t really remember much else in the game, so it's a bit frustrating today.”