Lenses and Antennas are two means of manipulating EM waves. While antennas are predominantly used at RF / Microwave frequencies, Lenses are used for optical/IR regions of the spectrum.
I understand why antennas aren't used at optical/IR frequencies: an optimal antenna should have a length on the order of the wavelength. For a nm to um wavelength, the resulting antenna would be too small to be practically useful.
But I don't see a reson why lenses typically used for optical/IR frequencies aren't used in everyday life for RF/microwave. Apart from optical coatings, I see no fundamental reason. Lens's focal length is independent of frequency, and Air's index of refraction doesn't seem to be changing significantly with frequency.
Best Answer
The answer is yes. Lenses are used. Here is an example of a commercially avaliable lense for 500 GHz: https://www.thorlabs.com/NewGroupPage9.cfm?ObjectGroup_ID=1627 Here some others: http://www.tydexoptics.com/products/thz_optics/thz_lens/ (This is calculated up to 3mm wavelength so 100 GHz)
So lenses are successfully used in Thz and short mm wave applications. While there is no hard limit it seems usually people start at W Band (75 GHz). You want your lense to have the diameter of a few wavelength, so at some point lenses get more cumbersome to use.
Imagine 10 Ghz so 30mm wavelength, then the lense shd br around 30cm diameter. Probably somebody tried this, but it gets unpractical at some point.