Drogba knows Lampard is working with one hand tied behind his back due to the club's transfer ban.
"I think he is a very good coach, but this year it is a little more difficult because he does not have many options because of the penalties (transfer ban)," said Drogba to Efe.
"But I'm proud of him."
Drogba, who has finished his career, also says that he misses football.
"I want to be in a team, score goals and play important matches. But it's part of life, the end of a cycle as a player."