There is little sympathy from Ancelotti, who managed Lampard at Chelsea.
Ancelotti's 2011 sacking was delivered after he had created a Blues club record of 67 wins and 20 draws in 109 games.
He said: “At the end, it's not sad for Frank — another door will open for him. Look at me. I was sacked everywhere.
“It's not unusual and Frank should know this.
“To be sacked is part of the job — we all have to understand this. Chelsea are no different to other clubs.
"Every club has its expectations and when things don't go the way they want, they can't change 20 players. So they change the manager."