Use the lostpassword_redirect
filter:
add_filter( 'lostpassword_redirect', 'wpse127373_lostpassword_redirect' );
function wpse127373_lostpassword_redirect() {
return home_url(); // use the home URL for your site
}
Add this code to your active theme’s functions.php
file or — if you want it to persists across theme changes — add it to a custom plugin.