Blues boss Rafa Benitez is not anticipating a third successive Euro shootout.
Lampard, who will skipper Chelsea tonight, revealed that the team had not practised penalties.
He said: "It's a strange one. Some people are better practising and some are better not. I think the regular penalty takers, or pretty regular ones, will practise regularly to keep them at a level.
"Then again, I practised them with England many a time in tournaments and we ended up losing the shootout.
"I don't think there is any perfect recipe. It is down to the individual.
"Some people like to practise, but Michael Ballack hardly ever practised and he was one of the best penalty takers I have played with."