Adding the following code snippet into the functions.php of your wordpress theme will allow you to redirect failed login attempts to any location.

/* Adding this snippet to the functions.php or your wordpress theme will allow you to redirect failed login attempts to any location. */

add_action( 'wp_login_failed', 'dcg_redirect_failed_login' ); 

function dcg_redirect_failed_login( $username ) {
    $referrer = $_SERVER['HTTP_REFERER'];
    if ( !empty($referrer) && !strstr($referrer,'wp-login') && !strstr($referrer,'wp-admin') ) {
        wp_redirect( $referrer . '?login=failed' ); 
        exit;
    }
}

• View above code on Github Gist →