The North Londoners’ 2-1 defeat at Inter Milan in the Champions League on Tuesday was their third successive loss by the same scoreline.
It is the first time they have lost three on the bounce under Mauricio Pochettino since he took over as manager in May 2014.
But Lamela said: “No, I don’t think we’re losing our confidence. We still believe in each other in this team. That’s why we always fight until the end of the season.
"People are thinking like this. But inside the dressing room, I can tell you it’s not like this. We believe in this team.
“It’s time to win again. The way we played against Inter will help a lot but we have confidence in ourselves.”
Pochettino’s men led through Christian Eriksen’s deflected 53rd-minute strike until Mauro Icardi levelled with a spectacular 20-yard volley in the 85th minute.
Matias Vecino then heading their winner in the second minute of stoppage time.
Winger Lamela, 26, said: “We’re disappointed because we were winning and to lose like this in the last ten minutes is bad.
"It’s bad for us because we came here to win and in the end we didn’t get the points, so very disappointed. The feeling is like when you lose, bad, bad.
“But we need to keep going and move on. It’s the only way to recover from this, to keep putting everything on the pitch and try to get back to winning ways.
"I don’t know honestly if we deserved to lose. In the second half, we scored and then we managed the game. They were tired, we should have scored more goals.
“I had a lot of chances. My team-mates too. Sometimes the ball goes in. Football is like this sometimes. We have to improve and next time try to score and finish the game. That’s it.”
England captain Harry Kane has looked a shadow of the player that has terrorised Premier League defences for the past three seasons as he failed to score for a third game running.
But Lamela insisted: “Harry is not a machine. He scores a lot. Today, he didn’t and for two or three games he didn’t. But he will score again.
“It’s not like Harry needs to score every single game. All the pressure is not on Harry. All the attacking players need to score.”
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