The Southwest London club became the first European champions since Barcelona in 2007 (losing to Brazil's Internacional) to not take out the competition but Lampard is aware that there are more trophies to win and will focus on those after a disappointing defeat.
"It was always going to be a tough game. They are a very good team," Lampard told BBC2.
"It is tough to come away with a bad feeling. We had enough chance to at least draw the match.
"We have to win a run of games in the league now. We've got the league, the Europa League, Capital One Cup and the FA Cup coming up.
"We have to move on."