The last night loss comes as a reality check for the London team.
They lost against Bayern Munich 3-0 at Stamford Bridge. Their chance to go further in the competition is small as they need to score four goals in the second leg and if they play like last night, it will be just impossible.
Serge Gnabry made sure to make the Blues challenge even harder as he scored two quickfire goals and Robert Lewandowski added a third.
The German giants dominated for most of the game as the scoreline tells.
After the game Lampard said: "That's football at this level. The levels of Bayern Munich were fantastic."
"They are a really strong team and unless we were to get everything right and bang on, it was going to be a tough night potentially"- he added "We didn't get everything bang on. We weren't confident on the ball."
"That was my biggest disappointment from start to finish." said the Chelsea head coach.
"We as a club haven't been fighting in the knockout stages and getting through to the back-end of it for some years.
"I'm disappointed we couldn't have done better against them, but it's a real reality check for everyone individually in the dressing room."
At Stamford Bridge Chelsea aren't at their best and last night game confirms it. They had a situations in which they could have scored but those chances were wasted.
The Blues will need a lot of character to fight back in the second leg, but will they manage to do it?