The two sides met in a tense affair at Old Trafford, where both outfits were forced to settle for a point after a 0-0 draw in the Premier League.
The outcome of the game may have been different had United been awarded a spot kick after Tom Cleverley's effort appeared to strike Lampard's hands, but the 35-year-old feels that the referee got the decision right.
Lampard told Sky Sports News: "For me, it's not a penalty. When you're challenging for a ball and you're half a yard away, what can you do?
"I was worried because in the modern day it seems to be changing, but I was pleased. I think it's common sense from the refs sometimes. I certainly couldn't do anything about it."
Chelsea currently sit top of the league having played a game more than many of their rivals.