Lampard has also denied that Chelsea have put in a £60m bid for the 21-year-old.
With barely a week remaining for the summer transfer window to slam shut, Chelsea are pushing harder to add Gordon to their spending spree which has already seen them recruit the likes of Kalidou Koulibaly, Raheem Sterling, Marc Cucurella and Carney Chukwuemeka.
Everton have been utilising Gordon as a false nine in the absence of the injured Dominic Calvert-Lewin since the start of the season.
Gordon made 35 appearances for Everton last season, scoring four goals and adding two assists as the Toffees narrowly avoided relegation.
The England u-21 international is reportedly keen on the move to Thomas Tuchel's side but Lampard maintains he has no intention to sell.
"It hasn't come in. He's our player and remains so. He's in the squad for tomorrow," Lampard said at a press conference on Friday ahead of the Premier League clash against Brentford.
"He's a huge player for us. I said it last week, not only is he a big value for the club, if you want to talk financially, but more importantly for me he is a big value to the squad and the team.
"They haven't bid £60m, so let's not talk about a number that's not there.
"I've been fortunate enough to work with fantastic young players in my time with Derby, in my time with Chelsea, seeing them develop, now becoming internationals with England, Champions League winners, worth triple-digit figures in their personal values.
"Anthony is in that bracket. He's been a pleasure to work with and he's ours, an Everton boy, he plays for us, the crowd relate to him.
"It's all understandable that people will be interested in him because of the level of player that he is but the facts remain the same."
