Lampard also revealed he was ‘disappointed’ to have been denied the chance to turn things around at Stamford Bridge.
Lampard took over the hot seat at Chelsea before the start of the 2019/2020 season after the Blues parted ways with Maurizio Sarri.
Despite the former Derby County manager’s status as a legend at Chelsea, it did not stop Roman Abramovich from implementing his hire-and-fire modus operandi.
Lampard took to his Instagram account hours after his dismissal to break his silence.
“It has been a huge privilege and an honour to manage Chelsea, a club that has been a huge part of my life for so long,” the 42-year-old wrote.
“Firstly, I would like to thank the fans for the incredible support that I have received for the last 18 months. I hope they know what that means to me.
“When I took on this role I understood the challenges that lay ahead in a difficult time for the football club," he added.
“I am proud of the achievements that we made, and I am proud of the Academy players that have made their step into the first team and performed well. They are the future of the club.
"I am disappointed not to have had the time this season to take the club forward and bring it to the next level.
“I want to thank Mr. Abramovich, the board, players, my coaching team and everyone at the club for their hard work and dedication, especially in these unprecedented and challenging times.
“I wish the club and the team every success in the future.”
Chelsea are said to be lining up former Borussia Dortmund and Paris Saint-Germain boss Thomas Tuchel to replace Lampard