Lampard started Friday's win in Bulgaria on the bench.
"Frank is a great player and has been throughout the years," said Walcott.
"But it is the manager's decision.
"There is so much competition for places now. You really need to be on your toes because if you are not playing well, the manager won't pick you.
"There is certainly no such thing as a guaranteed start.
"But we are all professional. There is no sulking if you are on the bench - you just want to prove the manager wrong.
"That is how you get the best out of players."