Diego Milito easily cut inside John Terry and fired in at Petr Cech's near post.
But Chelsea gradually regained their composure and enjoyed lots of territorial advantage but lacked the killer final pass - too many of their efforts were from distance and easily dealt with by Milan keeper Julio Cesar.
Didier Drogba was unlucky when his powerful free kick cannoned back off the cross bar and just before the break Walter Samuel clearly brought down Salomon Kalou as he raced in on goal but the Spanish referee waved play on.
Yet earlier Milan had the best chance of the half when Samuel Eto'o, from six yards, hit an air shot with the goal gaping.
The visitor's got the equaliser their play deserved just after half time when suspect keeping by Cesar allowed Kalou's 20-yard strike to bounce through him.
Within four minutes Milan had regained the lead.
Argentina international Esteban Cambiasso saw his first effort blocked but from the rebound he hit a glorious shot past a static Cech.
Lampard remained positive saying the game was evenly poised for the Stamford Bridge return.
"There is still the game in London to go, but on the balance of play, amount of possession and shots on goal we were the stronger team," he told ITV1.
"Getting the early goal made it easier for them to sit back and wait for us, but eventually we equalised and got the away goal so we have to be positive about that and the performance.
As for the penalty that was turned down Lampard admitted he was too far away to tell but, "Sala thinks it was a penalty and if it was it would have been a red card and a totally different game.
"But you have got to take those decisions on the chin and hope in the home leg some go for us."