The pair have been linked with moves away from the club, with England's number one goalkeeper reportedly a target for Tottenham Hotspurs, who are looking for a long-term replacement for Hugo Lloris.
Everton rejected offers from Chelsea for Gordon during the summer, with Lampard suggesting at one stage that the England u-21 international was worth £100m.
"We're in a situation where we want them to stay, and they want to stay – that's always been the feeling – so we are very close," Lampard said ahead of Monday's Premier League clash with Wolves.
"I don't want to speak for him, but Jordan feels very happy at this club. That's the impression I get. We are a huge club with a big history and big ambition, and he is a big part of that.
"Maybe, I was fortunate to play in the Champions League a lot, but when I felt comfortable at a club, I came in with a smile on my face every day and I looked forward to every game.
"If Jordan feels like that, and we can match each other's ambitions, I don't see that as a problem."
One player who is not available to face Wolves on Monday is Conor Coady.
Coady is on loan from Wolves and cannot face his parent club under the terms of the agreement but Lampard is working to make the move permanent.
"Conor has been brilliant since he's been here in every possible way," Lampard added.
"I would like to make that permanent at some point. That's not happening right now, but we will keep looking at that one.
