Lampard was shocked to see Redknapp sacked after Chelsea's European glory meant Tottenham missed out on a place in the Champions League.
Lampard told The Sun: "I feel really bad for Harry, especially as my biggest success in football turned out so unlucky for him.
"He deserved Champions League football. He and Spurs finished fourth. That's why I'm still shell-shocked by what's happened.
"I have some mates who are Spurs fans and they are desperately disappointed. They remember how they were rock-bottom when Harry came in. Then, all of a sudden, they're playing in the Champions League and competing at the top.
"He's done an amazing job."