I'm not aware of anything in the Lutheran Confessions that specifically addresses the topic, but then I'm far from an expert--others would be far more helpful in that regard.
But, generally, I haven't seen anything in Lutheranism to suggest a departure from basic, historic Christian views on the subject: that, while we can't really know much, we can be confident that between death and resurrection we are with Christ; as He has promised, "Where I am, you will be also".
Scripture itself is all but silent on the matter of the intermediate state, we have St. Paul saying in 2 Corinthians "being absent from the body and present with the Lord", thus indicating some kind of continued, conscious existence between death and resurrection. And in the Apocalypse St. John has a vision of the souls of the martyrs before God's throne.
All that I've read about Luther tends to be that Luther's own views are hard to pinpoint, sometimes saying things that sound one way, and then in other cases sounding another.
Perhaps the truth is simply that our interest in what happens immediately at death just isn't the kind of thing the biblical writers, and most theologians historically have been all that interested in. Christian eschatology tends toward the broad, overarching themes of salvation, redemption, judgment, and renewal. That, ultimately, justice does happen, and that means the victory of life over death, not just for us as individuals, but indeed the entirety of creation.
-CryptoLutheran