Lampard was twice a losing finalist in the competition as a Blues player in 2012 and 2013 but now has the opportunity to get his hands on a first piece of silverware since becoming the club's head coach over the summer.
"We need to be absolutely ready," Lampard told uefa.com. "It's a cup that the club desperately wants to win. I've never won it, a lot of players in there have never won it, so we have to give it everything.
"Going up against the team with the quality of Liverpool in a final is as tense as finals can be.
"You can lose finals; they're very tough. But what you cannot do is lose it on the premise that we weren't prepared, or we didn't have that hunger or desire or everything you need to try and win a game of this magnitude.
"It's going to be one of my first competitive games as manager of this club.
"Every player in there needs to be aware of the importance of the game to this club and we have to give everything, because it's going to be tough.
"It's going to be tough, but we cannot walk off the pitch and think, 'Oh, we could've done that' or 'we missed that opportunity' or 'we weren't quite ready' or make any excuses for ourselves."