The Blues legend netted a club record 211 goals during his successful spell in west London.
The midfielder is currently plying his trade in the MLS with New York City FC.
But the 28-year-old’s career could have taken a different turn while at Stamford Bridge.
Five things we learned about Chelsea in the EFL Cup against West Ham
Wed, October 26, 2016Click through the gallery for five things we learned about Chelsea during their EFL Cup defeat at West Ham
1) Conte took a risk making so many changes and it didn't pay off. His team didn't deal with West Ham's work rate and intensity
Reflecting on his time with Chelsea, Lampard told the BBC’s The Premier League Show: “I had a bit of interest from really top clubs in Europe so I think I could have done it in a good way, and tested myself.”
However, when asked whether he wished he left Chelsea sooner to test himself for a bigger European side, he added: “Yes and no. The yes is because I would have loved to have challenged myself.
“I would have loved to have tried to learn a language.
“But then I flip it and go, well what would that have meant?
"Leaving Chelsea, not being able to be part of an era and a team that eventually won the Champions League and the Europa League and titles. No.
“So the answer's no basically. The grass isn't always greener, I had a great career in England, those memories are my career and they're always with me now.”
Chelsea were knocked out of the EFL Cup at the fourth round stage by West Ham last night.