The Daily Mail says the 42-year-old was at home when chairman Bruce Buck called him in for a 9am meeting at Stamford Bridge, when he was informed of the club's decision to relieve him of his duties.
At the meeting was the club's executive director Marina Granovskaia and Chelsea chairman Buck, with Lampard expecting to be sacked once the meeting was arranged.
The meeting was said to be sombre and sad in tone, and the former Chelsea star turned down the opportunity to say goodbye to his players at their Cobham training base in the afternoon.
The Blues are currently on a run of just two wins in their last eight league games, with the west Londoners picking up five top-flight defeats since the middle of December.
Lampard left the club with Chelsea sitting in ninth place, five points off the top four and very much out of the title picture.