The Swansea forward has bagged 17 league goals in his debut season in English football and also helped Michael Laudrup's team to victory in the Capital One Cup.
Despite his impressive goalscoring record, Luis Suarez, Robin van Persie, Michael Carrick, Eden Hazard, Juan Mata and Gareth Bale were announced as the six nominees on Friday.
|22/1||Swansea are 22/1 with BetVictor to draw 2-2 with Chelsea
"I don't know what it is, whether it is ourselves or the FA. But it is shocking that he is not in it.
"I did not believe it was because he's at an unfashionable side before this season but I'm starting to see it more and more."
Swans midfielder Leon Britton echoed Lambert's sentiments and admitted that their season could have panned out very differently if Laudrup had not secured the Spaniard's signature last summer.
"We're a bit surprised," he said. "The players who are up for it are top players at top clubs, but it would have been nice to see a couple of our lads recognised for what they've done.
"Michu especially because he's been fantastic and you wonder where we would have been without him."
Ashley Williams has enjoyed a similarly impressive season at the heart of the Swansea defence and Lambert, who was born in Merseyside, admitted to interrogating the Welsh club's captain regarding a rumoured switch to Liverpool.
"I asked him going out, 'are you going to Liverpool or not, mate?' He wouldn't tell me," the 31-year-old added. "He kept that one quiet.
"He is a great player who has done magnificent over the last few years. It is good to see him doing well. He would be a great signing for Liverpool if he went."