Moment of Inertia is directly proportion to the distance between the mass and the axis.
In a convex lens, the centre is thicker. ie, more mass is concentrated at the centre. So the distance between most of the masses and the axis is less.
In a concave lens, the centre is thinner. ie, more mass is concentrated away from the centre. So the distance between most of the masses and the axis is more.
So, a concave lens will have higher moment of inertia when the axis is perpendicular to the plane and passing through the optic centre.