Chelsea are in the semifinals of the FA Cup and Champions League, plus are also battling for a top four finish.
Lampard told BBC Sport: "It's very exciting because, after the first leg in Napoli, we looked in a bad way.
"We could've been going out of the Champions League. Who knows with the FA Cup and the Premier League?
"And all of a sudden now, we've turned it around to the extent that we're fighting on a few fronts.
"But it can all be taken away as quickly as we get it. So we need to really focus on every single game we've got coming up.
"It's fatiguing and we really need to get through that.
"We've got big games against big teams coming up and we need to be at our best."