The 34-year-old admits his thoughts have turned to the possibility of following the likes of Ruud Gullit, Gianluca Vialli and Roberto Di Matteo from the pitch to the dugout for the Blues.
"I am thinking about my coaching badges now but there is only one club I want to manage," Lampard told The Sun.
"I know it might sound a bit selfish but I wouldn't want to go through 'showing myself' with a lower club.
"Although I would never expect to walk into a position such as the Chelsea manager, this is the only club I'd want to manage."
But Lampard, who has just one year remaining on his current deal at the club, is concerned about destroying his legacy as a player if he were to fail as a manager.
"I'd love to have a crack at it but I'd want to do it well," he added.
"I wouldn't want the supporters to forget everything I've tried to do as a player because I can't manage the team."