The England international has previously been linked with a number of European clubs, including Inter Milan, Real Madrid and Juventus.
However, Lampard has revealed that he is "proud" to represent Chelsea and is keen to end his career at Stamford Bridge.
"I've no regrets looking back at my career," he told a press conference. "Some go abroad, but I'm very proud to be Chelsea and would love to finish here."
The 33-year-old joined the Blues in 2001 from West Ham United.