The former Blues midfielder faced his first home game as manager against Leicester City on Sunday.
Despite the negative of a 1-1 draw, Lampard admitted it was a special moment to stand in the dugout at the stadium where he played for so many years.
"It felt great," he said to reporters after the game.
"It is a special moment for me to come back to the club and manage them at Stamford Bridge, of course it is the stuff of dreams.
"For me it is a huge thing, but my focus today was on the match and trying to win.
"Thanks very much to the fans, I appreciate that, but I am here to do a job and here to try and win for the club and we can do better than we did today."