Jesus taught that we should pray to God the Father

Examples of disciples communicated directly with Jesus after his ascension

Stephen who called out (not silently prayed) directly to the Lord Jesus while he was being stoned.

But he, being full of the Holy Spirit, gazed into heaven and saw the glory of God, and Jesus standing at the right hand of God, and said, “Look! I see the heavens opened and the Son of Man standing at the right hand of God!”

Then they cried out with a loud voice, stopped their ears, and ran at him with one accord; and they cast him out of the city and stoned him. And the witnesses laid down their clothes at the feet of a young man named Saul.

And as they were stoning Stephen, he called out,

“Lord Jesus, receive my spirit.”

And falling to his knees he cried out with a loud voice, “Lord, do not hold this sin against them.”

And when he had said this, he fell asleep.

-- Acts 7:56-60 (ESV)

Saul was definitely not praying to Jesus as he did not believe in Jesus:

But Saul, still breathing threats and murder against the disciples of the Lord, went to the high priest and asked him for letters eto the synagogues at Damascus, so that if he found any belonging to the Way, men or women, he might bring them bound to Jerusalem. Now as he went on his way, he approached Damascus, and suddenly a light from heaven shone around him.

And falling to the ground, he heard a voice saying to him, “Saul, Saul, why are you persecuting me?”
And he said, “Who are you, Lord?”
And he said, “I am Jesus, whom you are persecuting. But rise and enter the city, and you will be told what you are to do.”

-- Acts 9:1-6 (ESV)

In both cases they were seeing the Lord Jesus and either called out or said directly to him. They were not formally praying to Jesus. Paul witnessed himself:

And when we had all fallen to the ground, I heard a voice saying to me in the Hebrew language, "Saul, Saul, why are you persecuting me?" -- Acts 26:14 (ESV)

and

"Therefore, O King Agrippa, I was not disobedient to the heavenly vision" -- Acts 26:19 (ESV)

There are many other examples where people talked to angels who appeared to them in their direct presence, yet this form of communication was not considered "praying to angels".

Examples of disciples communicating directly with Jesus in a vision

Ananias:

Now there was a disciple at Damascus named Ananias.

The Lord (most likely Jesus) said to him in a vision, “Ananias.”
And he said, “Here I am, Lord.”
And the Lord said to him, “Rise and go to the street called Straight, and at the house of Judas look for a man pof Tarsus named Saul, for behold, he is praying, and he has seen in a vision a man named Ananias come in and lay his hands on him so that he might regain his sight.”
But Ananias answered, “Lord, I have heard from many about this man, how much evil he has done to your saints at Jerusalem. And here he has authority from the chief priests to bind all who call on your name.”
But the Lord said to him, “Go, for whe is a chosen instrument of mine to carry my name before the Gentiles and kings and the children of Israel. For I will show him how much he must suffer for the sake of my name.”

-- Acts 9:10-16 (ESV)

John:

He who testifies to these things says, “Surely I am coming quickly.”

Amen. Even so, come, Lord Jesus!

-- Revelation 22:20 (ESV)

They were not on their knees praying to Jesus, they were interactively communicating with him during these visions, asking questions and receiving answers to their questions.

Paul's prayers to the Lord

Some would also argue that Paul prayed to Jesus:

Concerning this thing I pleaded with the Lord three times that it might depart from me.

And He said to me, “My grace is sufficient for you, for My strength is made perfect in weakness.”

Therefore most gladly I will rather boast in my infirmities, that the power of Christ may rest upon me. Therefore I take pleasure in infirmities, in reproaches, in needs, in persecutions, in distresses, for Christ’s sake. For when I am weak, then I am strong.

-- 2 Corinthians 12:8-10 (ESV)

However, note that in the same passage Paul address Jesus as "Christ" not as "Lord". In the Greek New Testament, the word "Lord" is only a form of respect. It could refer to any person with authority like a human king, Jesus or God.

Praying in the Name of Jesus

Some would argue that "praying in the name of Jesus" means to pray to Jesus. They may quote scriptures like:

“And I will do whatever you ask in my name, so that the Father may be glorified in the Son. -- John 14:14”

This does not mean that we should pray directly to Jesus. This simply means to pray in the authority that Jesus gave to disciples. In other words this means they are allowed to request certain things from God the Father because Jesus permits them.

In this case Jesus instructs his disciples to submit to his authority ("name") so that when they ask something from the Father, the Father may use the opportunity to honour ("glorify") His Son's request which should be in alignment with the disciple's request when they had submitted themselves to him. This is not the disciples telling Jesus what to do, but Jesus mediating on behalf of the disciples to God according to His will.

A few verses earlier:

Jesus said to him, “I am the way, the truth, and the life. No one comes to the Father except through Me. -- John 14:6 (ESV)

Fellowship with Jesus

Paul wrote:

God is faithful, by whom you were called into the fellowship of His Son, Jesus Christ our Lord. -- 1 Corinthians 1:9 (ESV)

And John wrote:

... so that you too may have fellowship with us; and indeed our fellowship is with the Father and with His Son Jesus Christ -- 1 John 1:3 (ESV)

How are we supposed to have "fellowship" with Jesus Christ if we should pray to the Father and not to Jesus?

Possible solutions:

• God does not forbid talking (or "praying") to Jesus directly, although no scripture directly encourage prayers to Jesus.
• Christ's body is fellow believers. Fellowship with them might be considered fellowship with Jesus Christ.
• Or we will eventually, be able to have direct personal fellowship with Jesus himself on his return.