They have lost 4 of them and drew once, and only scored 2 goals.
Their 1st visit was in the 2001-02 Champions League, where they drew 1-1 against Deportvo La Coruña.
Since then they have lost 4 games in a row: 2 in 2005-06 against Villarreal (1-0) in the Champions League and Sevilla (2-0) in the UEFA Cup. The next two were against Valencia: 3-1 in the 2009-10 Europa League and 2-0 in the 2012-13 Champions League.
But Lille also have a bad streak away from home in Europe and they haven't won in their last 6 away matches, drawing 4 and losing 2.
Their last win came in July 2014, when they won in the 2nd qualifying round of the Champions League against Grasshoppers (0-2), that is also their last win in Europe.