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') ) {

	  $pos = strpos($referrer, '?login=failed');

		if($pos === false) {
		 	// add the failed
		 	wp_redirect( $referrer . '?login=failed' );  // let's append some information (login=failed) to the URL for the theme to use
		}
		else {
			// already has the failed don't appened it again
			wp_redirect( $referrer );  // already appeneded redirect back
		}

      exit;
   }
}