"You are talking about the highest level of club football in the world," Lampard said.
"You can't have it your own way every year. We were lucky enough to have had a great run to the Champions League final and win it last year.
"At first we were disappointed to end up in the Europa League. But the more we have been involved in it, the more we have learned to love it.
"We wanted to progress and the closer we got to the final, the more we wanted to be here."