I did a little code research on this and found out that bp using the wp_lostpassword_url() function to set the url.

I tried this code in functions.php to change the URL but this does not work:

function passurl_wpse_208054($lostpassword_url, $redirect ) {
	return 'http://path/to/login/url';
  }
  add_filter('lostpassword_url', 'passurl_wpse_208054', 10, 2);