Despite a 3-2 defeat in the second leg in Russia on Thursday night, the Blues booked their place in the last four of the tournament with a 5-4 aggregate win.
"People try and talk this competition down but we have been very professional and the closer you get to the final, the more special it gets," Lampard is quoted as saying by BBC Sport.
"We have to get home and concentrate on the FA Cup now. We have a lot of games coming up but have big squad so today is a confidence booster, we're into a semi-final, now we want to get into a final."
Chelsea face Manchester City in the FA Cup semi-finals on Sunday at Wembley Stadium.