The West London outfit will find out who they play for a place in the Amsterdam showpiece on May 15 when the draw is made this afternoon.
"People talk [the Europa League] down at different times but when we get out there we're very professional and the closer we get to the final the more special it gets," Sky Sports News quotes Lampard as saying.
"Every game is difficult at the moment but we've got a big squad. Playing every few days has got to be a compliment to us, we've reached the semi-final and now we want to get to the final."
Chelsea have never won the competition.