As the Blues played out a 0-0 draw with Sevilla at home, United went to Paris and won 2-1 against last year's finalists.
Lampard admits it was a mature performance, and that his team will have to be at their best to beat United in the Premier League at the weekend.
Lampard told BT Sport: "They (Manchester United) might be building on their performance tonight as well!
"They had a really good result.
"We have to, it's a long season and we're in the real early stages of it.
"As I said before the game, we lost this game last year against Valencia so it's a much better start for us and it gives us confidence ahead of what's going to be a difficult group, no matter what way you look at it.
"But, yeah, league games now ahead of us… Manchester United are a huge test off the back of a very good result for them but we have to go there with belief."