The Blues face an important week in their hunt for a trophy this term, with Thursday's first leg of the Europa League last 32 at Sparta Prague followed by a FA Cup fourth-round replay with Brentford on Sunday.
"At the minute the season hasn't been successful," Lampard told Chelsea TV.
"We should be challenging for titles rather than third or fourth, but we're not. And we've not won some cups, we've been knocked out.
"We have to grab the fact that there's a lot of games to play and we have to try to win something."