Gary Caldwell had given the hosts a first-half lead at the DW Stadium but Lambert equalised in the 64th minute and Morgan Schneiderlin put them ahead five minutes from time. However, Wigan roused themselves for one final effort and secured a 2-2 draw when Maloney popped up in the 90th minute to prod the ball home from a corner.
Lambert said: "I'm frustrated about conceding in the last minute, it was a very bad goal to give away. Obviously when the dust settles and you have time to think about it then we're going to think of it being a good point, but right now it doesn't feel like that, it's a bitter pill to swallow. We should have had three points."
He continued: "I thought the performance was brilliant. Throughout the 90 minutes we pressed them, we harried them and we put them under a lot of pressure, and they're a really good football team.
"Last time we played them we got taught a lesson but I thought this time around we showed them how much we've improved and we deserved the three points.
"I thought we deserved a point at Old Trafford and three points here so it's not nice, but when we sit and think about it we'll take positives out of the performances.
"We've been good of late at not conceding many goals. The last two games we've conceded two and these were poor goals, both of them.
"We need to get back on the training pitch and do better next week."