The match was notable for Juan Mata's 'ghost' goal to put the Blues 2-0 ahead at Wembley Stadium.
However, Lampard was among the scorers as Chelsea eventually ran riot over their London rivals.
"It was an amazing game, I thought we played brilliantly and we deserved to win with the amount we created," the midfielder told BBC Sport.
When asked about the controversial goal, Lampard claimed that his side were still worthy winners.
"The referee has given it, we didn't have a conversation about it, but over the course of the game we deserved to win," he added.
Roberto Di Matteo's side will take on seven-time winners Liverpool in next month's final.