Chelsea finished in the top four and reached the FA Cup final in Lampard's first season in charge.
He told the club's website: "I always look at things.
"I do it every night, I sit there and I assess things. I think going away from football now for a week or so will help with the reflection, we can recharge and refresh. But I'm already thinking about next season.
"I'm thinking of where we want to go and how we need to improve. That game [versus Bayern] showed that we can compete, certainly the young players, but also highlights how much work there is for us to get to the level we want to be at.
Frank and his players will have a short break before reporting back for pre-season
"I've been there myself as a player. Going into Champions League games and realising how high the level is, and it's about how you react to those experiences and come back from them.
"I'll certainly be on the players to remember that as we go away but I have to say, I'm really proud for the effort and the togetherness that they've shown this season.
"I think a lot of people would have written us off this year. When you think of Chelsea eras just gone, of prime Hazards, and Drogbas and Terrys and Cechs, it looked different this year and the players have fought for everything. I hope the fans have appreciated that fight, we certainly appreciate their support, and I can promise them that we will be doing everything we can to keep moving forward."