The Stamford Bridge hero says he was â€śguttedâ€ť 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: â€śRoy made a point of coming to see me personally to tell me face-to-face.
â€śHe came to my room and sat down on the settee and said he couldnâ€™t take the chance on me.
â€śHe explained that because heâ€™d already lost Gareth Barry and because of the make-up of the squad he had to leave me behind.
â€śHe said how sorry he was for me and I could tell that he meant it. I could tell he was genuinely disappointed for me.
â€śObviously 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."