The 33-year-old was rumoured to have fallen out of favour with manager Andre Villas-Boas in recent weeks, but the England midfielder started the Champions League group match and opened the scoring for the Blues in Spain.
"I always want to play, that's a given. I've been like that throughout my career," said Lampard.
"I love playing for this club. I am very proud of playing here. I've had knocks before in my career and it just makes me work harder to come back."
Villas-Boas also dispelled any rumours of a fall-out between the pair by paying tribute to Lampard after the game.
"It was good performance and display from a top player," said the Portuguese boss. "Frank is one of best players in the squad, who works to obtain our collective objectives."
Chelsea visit Bolton Wanderers in the Premier League on Sunday.