Paste the following code in your theme’s functions.php:

add_action( 'wp_login_failed', 'my_front_end_login_fail' );  // hook failed login

function my_front_end_login_fail( $username ) {
   $referrer = $_SERVER['HTTP_REFERER'];  // where did the post submission come from?
   // if there's a valid referrer, and it's not the default log-in screen
   if ( !empty($referrer) && !strstr($referrer,'wp-login') && !strstr($referrer,'wp-admin') ) {
      wp_redirect( $referrer . 'echec' );  // let's append some information (login=echec) to the URL for the theme to use

Note: you can change “echec” for the text that suits you most. Once done, create a sub-page of your login page and change it’s permalink to “echec” or whatever else you modified it to.