The Stamford Bridge hero says he was "gutted" to be ruled out of the England squad after suffering a thigh injury in training.
But he says the way the 64-year-old England boss broke the news that he was being left behind was first class.
Lampard told The Sun: "Roy made a point of coming to see me personally to tell me face-to-face.
"He came to my room and sat down on the settee and said he couldn't take the chance on me.
"He explained that because he'd already lost Gareth Barry and because of the make-up of the squad he had to leave me behind.
"He said how sorry he was for me and I could tell that he meant it. I could tell he was genuinely disappointed for me.
"Obviously it was a downer for me, a really gutting moment. But what can you do? I had feared as much. I actually knew I was in trouble when I first got injured."